On the inefficiency of state-independent importance sampling in the presence of heavy tails (Q2643805): Difference between revisions

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+Sandeep Juneja
@@ Property / author: Sandeep Juneja / rank @@
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+Assaf J. Zeevi
@@ Property / author: Assaf J. Zeevi / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.orl.2006.02.002
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+W2113666227
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@@ Property / cites work @@
+Adaptive Importance Sampling Technique for Markov Chains Using Stochastic Approximation
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@@ Property / cites work @@
+Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
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@@ Property / cites work @@
+Rare events simulation for heavy-tailed distributions
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@@ Property / cites work @@
+HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
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@@ Property / cites work @@
+On the inefficiency of state-independent importance sampling in the presence of heavy tails
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@@ Property / cites work @@
+Q4343010
@@ Property / cites work: Q4343010 / rank @@
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@@ Property / cites work @@
+Fast simulation of rare events in queueing and reliability models
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@@ Property / cites work @@
+Simulating heavy tailed processes using delayed hazard rate twisting
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@@ Property / cites work @@
+Adapative importance sampling on discrete Markov chains
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@@ Property / cites work @@
+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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@@ Property / cites work @@
+Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
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+Sequential analysis. Tests and confidence intervals
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