Improved cross-entropy method for estimation (Q693334)
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scientific article; zbMATH DE number 6114125
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| English | Improved cross-entropy method for estimation |
scientific article; zbMATH DE number 6114125 |
Statements
Improved cross-entropy method for estimation (English)
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7 December 2012
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variance minimization
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importance sampling
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Kullback-Leibler divergence
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rare-event simulation
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likelihood ratio degeneracy
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\(t\) copulas
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0.8290192484855652
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0.8217454552650452
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0.8187575936317444
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0.7983468174934387
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