On large deviations theory and asymptotically efficient Monte Carlo estimation

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Cited in

(45)

Efficient importance sampling in ruin problems for multidimensional regularly varying random walks
Universal Simulation Distributions
Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
State-independent importance sampling for random walks with regularly varying increments
Efficient importance sampling for events of moderate deviations with applications
Large deviations for weighted empirical measures arising in importance sampling
Exact asymptotics of sample-mean-related rare-event probabilities
State-dependent importance sampling for regularly varying random walks
Asymptotically efficient importance sampling for bootstrap
Minimization of a class of rare event probabilities and buffered probabilities of exceedance
Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
Bayesian parameter inference for partially observed stopped processes
Computing highly accurate confidence limits from discrete data using importance sampling
Efficient exponential tilting with applications
Efficient simulation of large deviation events for sums of random vectors using saddle-point representations
Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
On Monte Carlo estimation of large deviations probabilities
Approximate Optimal Controls via Instanton Expansion for Low Temperature Free Energy Computation
Efficient bootstrap methods: A review
Editorial: rare-event simulation for queues
Importance sampling for Gibbs random fields
Efficient large deviation estimation based on importance sampling
Counterexamples in importance sampling for large deviations probabilities
A class of optimum importance sampling strategies
State-dependent importance sampling schemes via minimum cross-entropy
The sample size required in importance sampling
On the generalization of the hazard rate twisting-based simulation approach
Asymmetric convergence of approximations of the Monte Carlo method
Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
Rare event simulation for T-cell activation
Variational and optimal control representations of conditioned and driven processes
Computing highly accurate or exact \(P\)-values using importance sampling
Rare-event simulation for neural network and random forest predictors
On asymptotically efficient simulation of large deviation probabilities
Importance Sampling for Generalized Likelihood Ratio Procedures in Sequential Analysis
On large-deviation efficiency in statistical inference
Asymptotic simulation efficiency based on large deviations
A path-based method for simulating large deviations and rare events in nonlinear lightwave systems
Large-deviation results for discriminant statistics of Gaussian locally stationary processes
Conditional Importance Sampling Estimators
A sequential Monte Carlo approach to computing tail probabilities in stochastic models
Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo
A cross-entropy scheme for mixtures
Dynamic importance sampling for uniformly recurrent Markov chains
Importance Sampling for Simulation of Large and Moderate Deviation Probabilities of Tests and Estimators

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