Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error

DOI10.1007/S11134-007-9051-8MaRDI QIDQ2465684zbMATH OpenOpenAlexFDO

Authors S. Juneja

Publication date 7 January 2008

Published in Queueing Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11134-007-9051-8

zbMATH Keywords

Asymptotically zero relative errorBounded relative errorComplexityConditional Monte-CarloControl variateImportance samplingRare event simulationRegular variationSubexponential distribution

Mathematics Subject Classification ID

Queues and service in operations research (90B22)

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• Rare events simulation for heavy-tailed distributions

Cited in

(13)

• On the impossibility of estimating densities in the extreme tail
• On the generalization of the hazard rate twisting-based simulation approach
• An alternative for robust estimation in project management
• Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
• Importance Sampling for Failure Probabilities in Computing and Data Transmission
• New efficient estimators in rare event simulation with heavy tails
• Simulating heavy tailed processes using delayed hazard rate twisting
• Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
• Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
• State-independent importance sampling for random walks with regularly varying increments
• State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
• Efficient simulation of tail probabilities of sums of correlated lognormals
• Rare-event probability estimation with conditional Monte Carlo

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