Simulating heavy tailed processes using delayed hazard rate twisting
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Publication:4564822
DOI10.1145/566392.566394zbMATH Open1390.65033OpenAlexW2077846544MaRDI QIDQ4564822FDOQ4564822
Authors: S. Juneja, Perwez Shahabuddin 
Publication date: 12 June 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/566392.566394
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Cited In (21)
- Improved algorithms for rare event simulation with heavy tails
- Asymptotics and fast simulation for tail probabilities of maximum of sums of few random variables
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- Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
- State-independent importance sampling for random walks with regularly varying increments
- Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks
- Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- On the generalization of the hazard rate twisting-based simulation approach
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- Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
- The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
- A fast and accurate numerical method for the left tail of sums of independent random variables
- On the inefficiency of state-independent importance sampling in the presence of heavy tails
- Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk
- State-dependent importance sampling for regularly varying random walks
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- New efficient estimators in rare event simulation with heavy tails
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