On the generalization of the hazard rate twisting-based simulation approach

DOI10.1007/S11222-016-9716-4MaRDI QIDQ1702282zbMATH OpenOpenAlexWikidataFDO

Authors Nadhir Ben Rached, Fatma Benkhelifa, Abla Kammoun, Mohamed-Slim Alouini, R. Tempone

Publication date 28 February 2018

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-016-9716-4

zbMATH Keywords

importance samplingrare eventshazard rate twistinglogarithmic efficientnaive Monte Carlotwisting parameter

Mathematics Subject Classification ID

Large deviations (60F10) Sums of independent random variables; random walks (60G50)

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Cited in

(5)

• State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
• On the efficient simulation of the left-tail of the sum of correlated log-normal variates
• Efficient importance sampling for large sums of independent and identically distributed random variables
• A fast and accurate numerical method for the left tail of sums of independent random variables
• Efficient exponential tilting with applications

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