Optimal importance sampling for some quadratic forms of ARMA processes (Q4880305)
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scientific article; zbMATH DE number 884872
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal importance sampling for some quadratic forms of ARMA processes |
scientific article; zbMATH DE number 884872 |
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Optimal importance sampling for some quadratic forms of ARMA processes (English)
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18 September 1996
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Toeplitz forms
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asymptotically efficient importance sampling distribution
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tail probability
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Monte Carlo simulations
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likelihood ratio statistic
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optimal detection of signals
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spectral density
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invertible Gaussian ARMA processes
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