Semiparametric cross entropy for rare-event simulation (Q2836222)

Due to the wide use of computer simulation across very different fields of endevaour, articles on the rare-event simulation arise from quite disparate sources and it is difficult to make a coherent survey of rare event sampling techniques.NEWLINENEWLINEIn this paper, the semiparametric cross entropy sampling method is described for rare-event simulation. Proofs of efficiency are shown for a general class of light-tailed distributions known as the exponential class and also for archetypal regularly varying distribution: Pareto case.NEWLINENEWLINENumerically, the proposed method is shown that performs satisfactorily for both light and heavy-tailed problems.