On the optimality and stability of exponential twisting in Monte Carlo estimation
DOI10.1109/18.179349zbMATH Open0766.62018OpenAlexW2122502060MaRDI QIDQ4034438FDOQ4034438
Authors: John S. Sadowsky 
Publication date: 16 May 1993
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/18.179349
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importance samplingsample meanMonte Carlo techniqueerror momentsasymptotically optimal sampling distributionoptimized exponentially twisted distributionsample variance estimatorsuniform asymptotic stability property
Statistical aspects of information-theoretic topics (62B10) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Large deviations (60F10)
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- On Monte Carlo estimation of large deviations probabilities
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