Semiparametric cross entropy for rare-event simulation (Q2836222)
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scientific article; zbMATH DE number 6662319
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semiparametric cross entropy for rare-event simulation |
scientific article; zbMATH DE number 6662319 |
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Semiparametric cross entropy for rare-event simulation (English)
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9 December 2016
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light-tailed
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regularly-varying
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rare-event probability
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cross entropy method
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rare-event simulation
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sampling method
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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.
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