New efficient estimators in rare event simulation with heavy tails (Q390439): Difference between revisions

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+https://doi.org/10.1016/j.cam.2013.10.044
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+W2008586314
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+Advances in Neural Networks – ISNN 2005
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+Stochastic simulation: Algorithms and analysis
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+Rare events simulation for heavy-tailed distributions
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+Improved algorithms for rare event simulation with heavy tails
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+On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms
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+Error rates and improved algorithms for rare event simulation with heavy Weibull tails
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+Improving the Asmussen–Kroese-Type Simulation Estimators
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+Large deviations and importance sampling for a tandem network with slow-down
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+On importance sampling with mixtures for random walks with heavy tails
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+Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk
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+Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
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+Publication:390439