Large deviations for weighted empirical measures arising in importance sampling

DOI10.1016/J.SPA.2015.08.002zbMath1329.60053arXiv1210.2251OpenAlexW2110883592WikidataQ60110935 ScholiaQ60110935MaRDI QIDQ898403

Pierre Nyquist, Henrik Hult

Publication date: 8 December 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.2251

zbMATH Keywords

importance samplingMonte Carlo methodlarge deviationsempirical measures

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Random measures (60G57)

Related Items (4)

Importance Sampling and Necessary Sample Size: An Information Theory Approach ⋮ The sample size required in importance sampling ⋮ Large deviations for bootstrapped empirical measures ⋮ Moderate deviation principles for importance sampling estimators of risk measures

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• Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling

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