W e consider the estimation by simulation of probabilities of rare but potentially damaging events i n Markovian systems. The problem is that the rarity of the event mitigates against its frequent occurence in simulation. Here we show how a reverse-time model m a y be simulated in place of the fonuard-time system in order to provide significantly faster estimates of the rare probabilities. A n ...

We address the issue of judging the significance of rare events as it typically arises in statistical naturallanguage processing. We first define a general approach to the problem, and we empirically compare results obtained using log-likelihood-ratios and Fisher’s exact test, applied to measuring strength of bilingual word associations.

Let (Xn,i)1≤i≤n,n∈N be a triangular array of row-wise stationary R-valued random variables. We use a “blocks method” to define clusters of extreme values: the rows of (Xn,i) are divided into mn blocks (Yn,j), and if a block contains at least one extreme value the block is considered to contain a cluster. The cluster starts at the first extreme value in the block and ends at the last one. The ma...

In this work we present a methodology to detect rare events which are defined as large price movement relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events and we exemplify for a particular trading rule. We apply the methodology to tick data for thousands of ...

Much work has been done on the statistical analysis of text. In some cases reported in the literature, inappropriate statistical methods have been used, and statistical significance of results have not been addressed. In particular, asymptotic normality assumptions have often been used unjustifiably, leading to flawed results. This assumption of normal distribution limits the ability to analyze...

These are notes of a mini-course given in the Summer School on Symbolic Dynamics, Temuco (Chile), January 1997. The aim is to present some results concerning asymptotic limit laws for the occurrence of asymptotically rare events associated with some symbolic dynamical systems. The results will be mainly presented for shifts of nite type, but there will be left questions of whether these results...

Class imbalance data usually suffers from data intrinsic properties beyond that of imbalance alone. The problem is intensified with larger levels of imbalance most commonly found in observational studies. Extreme cases of class imbalance are commonly found in many domains including fraud detection, mammography of cancer and post term births. These rare events are usually the most costly or have...

We formulate some general network and risk management problems in a Bayesian context and point out some of the essential features We argue and demonstrate that when one is interested in rare events the Bayesian and frequentist approaches can lead to very di erent strategies the former typically leads to strate gies which are more conservative We also present an asymptotic formula for the predic...

A structural monitoring system has been developed for use on high value engineering structures, which is particularly suitable for use in remote locations where rare events such as accidental impacts, seismic activity or terrorist attack might otherwise go