Efficient simulation for dependent rare events with applications to extremes
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Abstract: We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in a numerical example.
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Cited in
(13)- Efficient simulation of tail probabilities of sums of dependent random variables
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Improving the Asmussen-Kroese-type simulation estimators
- Efficient simulation for dependent rare events with applications to extremes
- Copulae: an overview and recent developments
- Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
- Efficient rare event simulation for heavy-tailed compound sums
- Variational approach to rare event simulation using least-squares regression
- RareMaxima
- Uniformly efficient simulation for extremes of Gaussian random fields
- Efficient simulation of tail probabilities for sums of log-elliptical risks
- Analysis and simulation of extremes and rare events in complex systems
- Rare event simulation for steady-state probabilities via recurrency cycles
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