Rare event simulation and splitting for discontinuous random variables

DOI10.1051/ps/2015017zbMath1416.65022arXiv1507.00919OpenAlexW2963507303MaRDI QIDQ2786505

Clément Walter

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.00919

zbMATH Keywords

countingsequential Monte Carlorare event simulationmultilevel splittinglast particle algorithmextreme event estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation in survival analysis and censored data (62N02) Sequential estimation (62L12)

Related Items (2)

Nested sampling methods ⋮ A rare event approach to high-dimensional approximate Bayesian computation

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