Improved cross-entropy method for estimation
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Publication:693334
DOI10.1007/S11222-011-9275-7zbMATH Open1252.62003OpenAlexW2078923597WikidataQ118141929 ScholiaQ118141929MaRDI QIDQ693334FDOQ693334
Authors: Joshua C. C. Chan, Dirk P. Kroese 
Publication date: 7 December 2012
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://espace.library.uq.edu.au/view/UQ:205500/improvedCE.pdf
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- scientific article; zbMATH DE number 2117227
importance samplingKullback-Leibler divergencerare-event simulationvariance minimizationlikelihood ratio degeneracy\(t\) copulas
Cites Work
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- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
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- A fast cross-entropy method for estimating buffer overflows in queueing networks
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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- How to deal with the curse of dimensionality of likelihood ratios in Monte Carlo simulation
- HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
- A comparison of cross-entropy and variance minimization strategies
- A note on estimating false alarm rates via importance sampling
Cited In (10)
- Cross-entropy method for estimation of posterior expectation in Bayesian VAR models
- Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling
- Accurate and fast small \(p\)-value estimation for permutation tests in high-throughput genomic data analysis with the cross-entropy method
- A Cross-Entropy Scheme for Mixtures
- On the convergence of the cross-entropy method
- Markov chain importance sampling with applications to rare event probability estimation
- Computation of credit portfolio loss distribution by a cross entropy method
- Rare-event simulation for neural network and random forest predictors
- A New Variance Reduction Technique for Estimating Value-at-Risk
- A comparison of cross-entropy and variance minimization strategies
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