Error rates and improved algorithms for rare event simulation with heavy Weibull tails (Q2516393)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Error rates and improved algorithms for rare event simulation with heavy Weibull tails |
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Error rates and improved algorithms for rare event simulation with heavy Weibull tails (English)
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31 July 2015
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estimators
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asymptotics
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heavy Weibull tails
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conditional Monte Carlo method
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rare event simulation
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error rates
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control variates
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lognormal distribution
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\(\mathrm{M}/\mathrm{G}/1\) queue
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Pollaczeck-Khinchine formula
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regular variation
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ruin theory
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subexponential distribution
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