Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
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Publication:2465684
DOI10.1007/s11134-007-9051-8zbMath1145.90355OpenAlexW2069644532MaRDI QIDQ2465684
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
ComplexityImportance samplingRegular variationSubexponential distributionAsymptotically zero relative errorBounded relative errorConditional Monte-CarloControl variateRare event simulation
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State-independent Importance Sampling for Random Walks with Regularly Varying Increments ⋮ An alternative for robust estimation in project management ⋮ New efficient estimators in rare event simulation with heavy tails ⋮ State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ On the generalization of the hazard rate twisting-based simulation approach ⋮ Efficient simulation of tail probabilities of sums of correlated lognormals ⋮ Rare-event probability estimation with conditional Monte Carlo ⋮ Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling ⋮ Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
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