Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
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Publication:4906511
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Cites work
- A sequential Monte Carlo approach to computing tail probabilities in stochastic models
- An Introduction to Heavy-Tailed and Subexponential Distributions
- Applied Probability and Queues
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
- Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
- Genealogical particle analysis of rare events
- scientific article; zbMATH DE number 193660 (Why is no real title available?)
- Improved algorithms for rare event simulation with heavy tails
- Large deviations and importance sampling for a tandem network with slow-down
- Paley-type inequalities and convergence rates related to the law of large numbers and extended renewal theory
- Probabilities of Large Deviations of Sums of Independent Random Variables with Common Distribution Function in the Domain of Attraction of the Normal Law
- Rare events simulation for heavy-tailed distributions
- Sequential Imputations and Bayesian Missing Data Problems
- Some One-Sided Theorems on the Tail Distribution of Sample Sums with Applications to the Last Time and Largest Excess of Boundary Crossings
- State-dependent importance sampling for regularly varying random walks
Cited in
(13)- Rare events simulation for heavy-tailed distributions
- Rare event simulation for diffusion processes via two-stage importance sampling
- Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations
- State-dependent importance sampling for regularly varying random walks
- 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
- Importance sampling of heavy-tailed iterated random functions
- State-independent importance sampling for random walks with regularly varying increments
- Improved algorithms for rare event simulation with heavy tails
- The transform likelihood ratio method for rare event simulation with heavy tails
- A sequential Monte Carlo approach to computing tail probabilities in stochastic models
- A review of conditional rare event simulation for tail probabilities of heavy tailed random variables
- Efficient rare-event simulation for the maximum of heavy-tailed random walks
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