On importance sampling with mixtures for random walks with heavy tails

DOI10.1145/2133390.2133392zbMATH Open1386.65029arXiv0909.3333OpenAlexW2073951051MaRDI QIDQ4635184FDOQ4635184

Jens Svensson, Henrik Hult

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Abstract: Importance sampling algorithms for heavy-tailed random walks are considered. Using a specification with algorithms based on mixtures of the original distribution with some other distribution, sufficient conditions for obtaining bounded relative error are presented. It is proved that mixture algorithms of this kind can achieve asymptotically optimal relative error. Some examples of mixture algorithms are presented, including mixture algorithms using a scaling of the original distribution, and the bounds of the relative errors are calculated. The algorithms are evaluated numerically in a simple setting.

Full work available at URL: https://arxiv.org/abs/0909.3333

zbMATH Keywords

heavy tailsimportance samplingrandom walksrare event simulation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Sums of independent random variables; random walks (60G50)

Cited In (6)

• Simulating risk measures via asymptotic expansions for relative errors
• A simulation-based method for estimating systemic risk measures
• Rare-event simulation for neural network and random forest predictors
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk
• New efficient estimators in rare event simulation with heavy tails

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