Importance sampling for simulations of moderate deviation probabilities of statistics

DOI10.1524/STND.2007.0904MaRDI QIDQ3519372zbMATH OpenOpenAlexFDO

Authors Mikhail Sergeevich Ermakov

Publication date 14 August 2008

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.2007.0904

zbMATH Keywords

influence functionsM-statistics

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05)

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• Importance Sampling for Simulation of Large and Moderate Deviation Probabilities of Tests and Estimators
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Cited in

(17)

• Counterexamples in importance sampling for large deviations probabilities
• On probabilities of moderate deviations of empirical measures for contiguous distributions
• The sharp lower bound of asymptotic efficiency of estimators in the zone of moderate deviation probabilities
• Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
• Asymptotically efficient importance sampling for bootstrap
• Testing the assumptions behind importance sampling
• Importance Sampling for Stochastic Simulations
• Efficient importance sampling for events of moderate deviations with applications
• Simulating level-crossing probabilities by importance sampling
• On Lyapunov inequalities and subsolutions for efficient importance sampling
• Moderate deviation principles for importance sampling estimators of risk measures
• On Asymptotically Efficient Statistical Inference for Moderate Deviation Probabilities
• Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations
• Moderate deviations-based importance sampling for stochastic recursive equations
• Importance Sampling for Simulation of Large and Moderate Deviation Probabilities of Tests and Estimators
• Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models
• Large deviation principle for moderate deviation probabilities of bootstrap empirical measures

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