On large deviations theory and asymptotically efficient Monte Carlo estimation
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DOI10.1109/18.54903zbMATH Open0702.60029OpenAlexW2080328084MaRDI QIDQ3481002FDOQ3481002
Authors: John S. Sadowsky, James A. Bucklew 
Publication date: 1990
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/18.54903
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- Asymmetric convergence of approximations of the Monte Carlo method
- A sequential Monte Carlo approach to computing tail probabilities in stochastic models
- Asymptotically efficient importance sampling for bootstrap
- On the generalization of the hazard rate twisting-based simulation approach
- Importance Sampling for Simulation of Large and Moderate Deviation Probabilities of Tests and Estimators
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- Large-deviation results for discriminant statistics of Gaussian locally stationary processes
- Universal Simulation Distributions
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- On large-deviation efficiency in statistical inference
- Rare event simulation for T-cell activation
- A cross-entropy scheme for mixtures
- Bayesian parameter inference for partially observed stopped processes
- Computing highly accurate confidence limits from discrete data using importance sampling
- A path-based method for simulating large deviations and rare events in nonlinear lightwave systems
- Dynamic importance sampling for uniformly recurrent Markov chains
- Computing highly accurate or exact \(P\)-values using importance sampling
- On Monte Carlo estimation of large deviations probabilities
- Variational and optimal control representations of conditioned and driven processes
- Rare-event simulation for neural network and random forest predictors
- 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
- Asymptotic simulation efficiency based on large deviations
- Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
- Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis
- Efficient exponential tilting with applications
- A class of optimum importance sampling strategies
- Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
- Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
- Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
- Efficient bootstrap methods: A review
- State-dependent importance sampling schemes via minimum cross-entropy
- The sample size required in importance sampling
- Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
- Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
- State-dependent importance sampling for regularly varying random walks
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