The transform likelihood ratio method for rare event simulation with heavy tails

DOI10.1023/B:QUES.0000027989.97672.BEzbMATH Open1061.90032MaRDI QIDQ596384FDOQ596384

Authors: Dirk P. Kroese, Reuven Y. Rubinstein 

Publication date: 10 August 2004

Published in: Queueing Systems (Search for Journal in Brave)

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zbMATH Keywords

simulationcross-entropyimportance samplinglikelihood ratiorare eventsheavy tail distributions

Mathematics Subject Classification ID

Queues and service in operations research (90B22)

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