Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling (Q4906511)
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scientific article; zbMATH DE number 6139564
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| English | Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling |
scientific article; zbMATH DE number 6139564 |
Statements
Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling (English)
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28 February 2013
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rare-event simulation
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random walks
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efficient simulation
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heavy-tailed distribution
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sequential Monte Carlo method
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regularly varying tail
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importance sampling
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Doobs \(h\)-transform
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Weibull and log-normal distributions
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0.8622418642044067
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0.8534566760063171
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0.8382472991943359
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0.8278895616531372
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