Asymptotic robustness of estimators in rare-event simulation
نویسندگان
چکیده
منابع مشابه
New efficient estimators in rare event simulation with heavy tails
This paper is concerned with the efficient simulation of P (Sn > s) where Sn is the sum of n i.i.d. heavy-tailed random variables X1, . . . ,Xn. Asmussen and Kroese (2006) and Asmussen and Kortschak (2012) proposed estimators that combine exchangeability arguments with conditional Monte-Carlo and whose relative errors go to 0 as s→∞. We useMn = max (X1, . . . ,Xn) as a control variate to propos...
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ژورنال
عنوان ژورنال: ACM Transactions on Modeling and Computer Simulation
سال: 2010
ISSN: 1049-3301,1558-1195
DOI: 10.1145/1667072.1667078