On the Asymptotic Normality of Adaptive Multilevel Splitting
نویسندگان
چکیده
منابع مشابه
Fluctuation analysis of adaptive multilevel splitting
Multilevel Splitting, also called Subset Simulation, is a Sequential Monte Carlo method to simulate realisations of a rare event as well as to estimate its probability. This article is concerned with the convergence and the fluctuation analysis of Adaptive Multilevel Splitting techniques. In contrast to their fixed level version, adaptive techniques estimate the sequence of levels on the fly an...
متن کاملOn asymptotic normality of sequential
For estimating the unknown parameters in an unstable autoregressive AR(p), the paper proposes sequential least squares estimates with a special stopping time defined by the trace of the observed Fisher information matrix. The limiting distribution of the sequential LSE is shown to be normal for the parameter vector lying both inside the stability region and on some part of its boundary in contr...
متن کاملAdaptive multilevel splitting for rare event analysis
The estimation of rare event probability is a crucial issue in areas such as reliability, telecommunications, aircraft management. In complex systems, analytical study is out of question and one has to use Monte Carlo methods. When rare is really rare, which means a probability less than 10−9, naive Monte Carlo becomes unreasonable. A widespread technique consists in multilevel splitting, but t...
متن کاملAdaptive Multilevel Splitting in Molecular Dynamics Simulations.
Adaptive Multilevel Splitting (AMS) is a replica-based rare event sampling method that has been used successfully in high-dimensional stochastic simulations to identify trajectories across a high potential barrier separating one metastable state from another, and to estimate the probability of observing such a trajectory. An attractive feature of AMS is that, in the limit of a large number of r...
متن کاملAsymptotic Normality of Statistics on Permutation Tableaux
Abstract. In this paper we use a probabilistic approach to derive the expressions for the characteristic functions of basic statistics defined on permutation tableaux. Since our expressions are exact, we can identify the distributions of basic statistics (like the number of unrestricted rows, the number of rows, and the number of 1s in the first row) exactly. In all three cases the distribution...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2019
ISSN: 2166-2525
DOI: 10.1137/18m1187477