Optimal importance sampling for some quadratic forms of ARMA processes (Q4880305)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 884872
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal importance sampling for some quadratic forms of ARMA processes |
scientific article; zbMATH DE number 884872 |
Statements
Optimal importance sampling for some quadratic forms of ARMA processes (English)
0 references
18 September 1996
0 references
Toeplitz forms
0 references
asymptotically efficient importance sampling distribution
0 references
tail probability
0 references
Monte Carlo simulations
0 references
likelihood ratio statistic
0 references
optimal detection of signals
0 references
spectral density
0 references
invertible Gaussian ARMA processes
0 references
0.7498635053634644
0 references
0.7485117316246033
0 references
0.7425655126571655
0 references
0.7403796911239624
0 references
0.7370596528053284
0 references
