Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error (Q2465684)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error |
scientific article |
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Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error (English)
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7 January 2008
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Bounded relative error
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Asymptotically zero relative error
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Complexity
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Rare event simulation
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Regular variation
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Subexponential distribution
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Importance sampling
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Conditional Monte-Carlo
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Control variate
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