Uniformly efficient simulation for extremes of Gaussian random fields
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Abstract: This paper considers the problem of simultaneously estimating rare-event probabilities for a class of Gaussian random fields. A conventional rare-event simulation method is usually tailored to a specific rare event and consequently would lose estimation efficiency for different events of interest, which often results in additional computational cost in such simultaneous estimation problem. To overcome this issue, we propose a uniformly efficient estimator for a general family of H"older continuous Gaussian random fields. We establish the asymptotic and uniform efficiency of the proposed method and also conduct simulation studies to illustrate its effectiveness.
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Cited in
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- An Algorithm for Simulating Stationary Gaussian Random Fields
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- Rare-event simulation and efficient discretization for the supremum of Gaussian random fields
- Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
- Efficient simulation for dependent rare events with applications to extremes
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