On Monte Carlo estimation of large deviations probabilities
From MaRDI portal
Publication:1814744
DOI10.1214/AOAP/1034968137zbMATH Open0855.60031OpenAlexW2013985701MaRDI QIDQ1814744FDOQ1814744
Authors: John S. Sadowsky 
Publication date: 27 January 1997
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1034968137
Recommendations
- On the optimality and stability of exponential twisting in Monte Carlo estimation
- Counterexamples in importance sampling for large deviations probabilities
- Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- Conjugate processes and the simulation of ruin problems
- Importance sampling in the Monte Carlo study of sequential tests
- Markov additive processes. I: Eigenvalue properties and limit theorems
- On large deviations theory and asymptotically efficient Monte Carlo estimation
- Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
- Simulating level-crossing probabilities by importance sampling
- On asymptotically efficient simulation of ruin probabilities in a Markovian environment
- New importance sampling methods for simulating sequential decoders
- On the optimality and stability of exponential twisting in Monte Carlo estimation
- Computing bit-error probabilities for avalanche photodiode receivers by large deviations theory
Cited In (27)
- Counterexamples in importance sampling for large deviations probabilities
- Efficient Simulation of Random Walks Exceeding a Nonlinear Boundary
- Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
- Systemic risk and default clustering for large financial systems
- State-independent importance sampling for random walks with regularly varying increments
- Exact asymptotics of sample-mean-related rare-event probabilities
- Asymptotically efficient importance sampling for bootstrap
- A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling
- Some recent results in rare event estimation
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- A cross-entropy scheme for mixtures
- Effective branching splitting method under cost constraint
- Dynamic importance sampling for uniformly recurrent Markov chains
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals
- An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
- Conditional Importance Sampling Estimators
- Large deviations for weighted empirical measures arising in importance sampling
- Minimization of a class of rare event probabilities and buffered probabilities of exceedance
- On asymptotically efficient simulation of large deviation probabilities
- RARE EVENT SIMULATION
- A Two-Step Branching Splitting Model Under Cost Constraint for Rare Event Analysis
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- Computable exponential bounds for screened estimation and simulation
- On large deviations theory and asymptotically efficient Monte Carlo estimation
- Monte carlo approximation to edgeworth expansions
This page was built for publication: On Monte Carlo estimation of large deviations probabilities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1814744)
