A sequential Monte Carlo approach to computing tail probabilities in stochastic models
From MaRDI portal
Publication:657700
DOI10.1214/10-AAP758zbMath1246.60042arXiv1202.4582MaRDI QIDQ657700
Publication date: 10 January 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.4582
large deviations; logarithmic efficiency; exceedance probabilities; sequential importance sampling and resampling
60J22: Computational methods in Markov chains
65C20: Probabilistic models, generic numerical methods in probability and statistics
65C05: Monte Carlo methods
60K35: Interacting random processes; statistical mechanics type models; percolation theory
60F10: Large deviations
Related Items
Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling, Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae, The sample size required in importance sampling, A general theory of particle filters in hidden Markov models and some applications
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Markov additive processes. I: Eigenvalue properties and limit theorems
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Counterexamples in importance sampling for large deviations probabilities
- Saddlepoint approximations and nonlinear boundary crossing probabilities of Markov random walks
- Dynamic importance sampling for uniformly recurrent Markov chains
- Asymptotic approximations for error probabilities of sequential or fixed sample size tests in exponential families.
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
- Genealogical particle analysis of rare events
- Sequential Monte Carlo Samplers
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- On large deviations theory and asymptotically efficient Monte Carlo estimation
- Self-Normalized Processes
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling