Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations (Q2828125)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations |
scientific article |
Statements
Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations (English)
0 references
24 October 2016
0 references
importance sampling
0 references
heavy tails
0 references
stochastic recurrence equations
0 references
