Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations (Q2854076)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations |
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Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations (English)
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17 October 2013
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rare event simulation
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importance sampling
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saddle-point approximation
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Fourier inversion
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large deviations
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algorithm
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numerical experiment
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Monte Carlo method
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exponential twisting method
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