Efficient importance sampling for events of moderate deviations with applications

DOI10.1093/BIOMET/91.2.471MaRDI QIDQ3367610zbMATH OpenOpenAlexFDO

Authors Cheng-Der Fuh, Inchi Hu

Publication date 24 January 2006

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/91.2.471

zbMATH Keywords

BootstrapLarge deviationExponential tiltingStratified samplingImportance resamplingConfidence region

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)

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(9)

• Importance sampling for simulations of moderate deviation probabilities of statistics
• A note on importance resampling for multi-dimensional statistics
• Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• Estimation in hidden Markov models via efficient importance sampling
• Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
• Simulating false alarm probability in K-distributed sea clutter
• On an automatic and optimal importance sampling approach with applications in finance
• Efficient exponential tilting with applications

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