Importance sampling for sums of random variables with regularly varying tails (Q4565385)
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scientific article; zbMATH DE number 6886446
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| English | Importance sampling for sums of random variables with regularly varying tails |
scientific article; zbMATH DE number 6886446 |
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Importance sampling for sums of random variables with regularly varying tails (English)
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12 June 2018
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dynamic importance sampling
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asymptotically optimal relative error
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bounded relative error
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rare events
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regularly varying tails
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variance reduction
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0.8554636836051941
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0.8392849564552307
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0.8308463096618652
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0.8225721716880798
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0.8223317265510559
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