Rare Events Simulation for Heavy{tailed Distributions
نویسنده
چکیده
This paper studies rare events simulation for the heavy{tailed case, where some of the underlying distributions fail to have the exponential moments required for the standard algorithms for the light{tailed case. Several counterexamples are given to indicate that in the heavy{tailed case, there are severe problems with the approach of developing limit results for the conditional distribution given the rare event and use this as basis for importance sampling. On the positive side, two algorithms having a relative error which is almost bounded are presented, one based upon order statistics and the other upon a diierent importance sampling idea.
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