Efficient rare event simulation for heavy-tailed compound sums
DOI10.1145/1899396.1899397zbMATH Open1384.62027OpenAlexW2050969304MaRDI QIDQ4635168FDOQ4635168
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/1899396.1899397
importance samplingrare eventsLyapunov inequalitiesstrong efficiencysubexponential tailscompound sums
Markov processes: estimation; hidden Markov models (62M05) Sampling theory, sample surveys (62D05) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Cited In (11)
- Efficient simulation of tail probabilities of sums of dependent random variables
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Importance Sampling for Failure Probabilities in Computing and Data Transmission
- Error rates and improved algorithms for rare event simulation with heavy Weibull tails
- Importance sampling for a simple Markovian intensity model using subsolutions
- Efficient simulation of tail probabilities for sums of log-elliptical risks
- Efficient exponential tilting with applications
- Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
- Infinite markings method in queueing systems with the infinite variance of service time
- Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
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