Quantile Estimation with Adaptive Importance Sampling
نویسنده
چکیده
منابع مشابه
Extreme quantile estimation with nonparametric adaptive importance sampling
In this article, we propose a nonparametric adaptive importance sampling (NAIS) algorithm to estimate rare event quantile. Indeed, Importance Sampling (IS) is a well-known adapted random simulation technique. It consists in generating random weighted samples from an auxiliary distribution rather than the distribution of interest. The optimization of this auxiliary distribution is often very dif...
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