Efficient simulation for dependent rare events with applications to extremes

DOI10.1007/S11009-017-9557-4zbMATH Open1385.65014arXiv1609.09725OpenAlexW2529601172MaRDI QIDQ1703036FDOQ1703036

Authors: Lars Nørvang Andersen, Patrick J. Laub, L. Rojas-Nandayapa 

Publication date: 1 March 2018

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

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.

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

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zbMATH Keywords

importance samplingcopulasnumerical examplebounded relative errorextremal valueslogarithmic efficiencyrare events probabilities

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32)

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Cited In (13)

• Efficient simulation of tail probabilities of sums of dependent random variables
• Analysis and simulation of extremes and rare events in complex systems
• Uniformly efficient simulation for extremes of Gaussian random fields
• Improving the Asmussen-Kroese-type simulation estimators
• Copulae: an overview and recent developments
• Error rates and improved algorithms for rare event simulation with heavy Weibull tails
• RareMaxima
• Efficient rare event simulation for heavy-tailed compound sums
• Efficient simulation of tail probabilities for sums of log-elliptical risks
• Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
• Rare event simulation for steady-state probabilities via recurrency cycles
• Variational approach to rare event simulation using least-squares regression
• Efficient simulation for dependent rare events with applications to extremes

Uses Software

• QRM
• GitHub

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