New efficient estimators in rare event simulation with heavy tails
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Publication:390439
DOI10.1016/j.cam.2013.10.044zbMath1418.62219MaRDI QIDQ390439
Quang Huy Nguyen, Christian Y. Robert
Publication date: 8 January 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.10.044
heavy-tailed distributions; rare event simulation; Asmussen and Kroese estimator; efficient estimators
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