Simulating heavy tailed processes using delayed hazard rate twisting (Q4564822)
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scientific article; zbMATH DE number 6886319
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|---|---|---|---|
| default for all languages | No label defined |
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| English | Simulating heavy tailed processes using delayed hazard rate twisting |
scientific article; zbMATH DE number 6886319 |
Statements
Simulating heavy tailed processes using delayed hazard rate twisting (English)
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12 June 2018
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hazard rate twisting
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heavy tailed distributions
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importance sampling
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rare events
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subexponential twisting
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variance reduction
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0.8232793807983398
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0.7955522537231445
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0.7705371379852295
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0.7702130079269409
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