Optimal importance sampling for some quadratic forms of ARMA processes

DOI10.1109/18.476309MaRDI QIDQ4880305zbMATH OpenOpenAlexFDO

Authors Piero Barone, Anna Gigli, Mauro Piccioni

Publication date 18 September 1996

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.476309

zbMATH Keywords

asymptotically efficient importance sampling distributioninvertible Gaussian ARMA processeslikelihood ratio statisticMonte Carlo simulationsoptimal detection of signalsspectral densitytail probabilityToeplitz forms

Mathematics Subject Classification ID

Large deviations (60F10) Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Recommendations

• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• Importance sampling via a simulacrum
• Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis
• Efficient large deviation estimation based on importance sampling
• Some results in importance sampling and an application to detection

Cited in

(4)

• Large deviations for quadratic forms of stationary Gaussian processes
• Efficient bootstrap methods: A review
• The computation of accuracy of quality parameters by means of a monte carlo simulation
• Sharp large deviations for Gaussian quadratic forms with applications

This page was built for publication: Optimal importance sampling for some quadratic forms of ARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4880305)