Efficient simulation for dependent rare events with applications to extremes

DOI10.1007/s11009-017-9557-4zbMath1385.65014arXiv1609.09725OpenAlexW2529601172MaRDI QIDQ1703036

Patrick J. Laub, Leonardo Rojas-Nandayapa, Lars Nørvang Andersen

Publication date: 1 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.09725

zbMATH Keywords

numerical exampleimportance samplingcopulasextremal valuesbounded relative errorlogarithmic efficiencyrare events probabilities

Mathematics Subject Classification ID

Related Items (2)

Efficient simulation for dependent rare events with applications to extremes ⋮ RareMaxima

Uses Software

• QRM
• GitHub

Cites Work

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• The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting
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