Efficient simulation of tail probabilities of sums of dependent random variables (Q3094481)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation of tail probabilities of sums of dependent random variables |
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Efficient simulation of tail probabilities of sums of dependent random variables (English)
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25 October 2011
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rare-event simulation
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log-elliptical distribution
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tail probability
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variance reduction
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importance sampling
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conditional Monte Carlo
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