Small variance estimators for rare event probabilities

DOI10.1145/2414416.2414423zbMATH Open1386.65013OpenAlexW2124318305MaRDI QIDQ4635210FDOQ4635210

M. Broniatowski, Virgile Caron

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/10.1145/2414416.2414423

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zbMATH Keywords

importance samplinglarge deviationmoderate deviationrare event

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Approximations to statistical distributions (nonasymptotic) (62E17)

Cited In (5)

• Improved algorithms for rare event simulation with heavy tails
• Importance sampling in rare event simulation
• Long runs under a conditional limit distribution
• Title not available (Why is that?)
• Some Recent Results in Rare Event Estimation

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