Efficient Monte Carlo for high excursions of Gaussian random fields

DOI10.1214/11-AAP792zbMath1251.60031arXiv1005.0812MaRDI QIDQ433910

Robert J. Adler, Jingchen Liu, Jose H. Blanchet

Publication date: 8 July 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.0812

zbMATH Keywords

Monte Carlo; efficiency; tail distributions; Gaussian random fields; high-level excursions

Mathematics Subject Classification ID

60G60: Random fields

60G15: Gaussian processes

62G32: Statistics of extreme values; tail inference

65C05: Monte Carlo methods

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