The transform likelihood ratio method for rare event simulation with heavy tails (Q596384)
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scientific article; zbMATH DE number 2085741
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The transform likelihood ratio method for rare event simulation with heavy tails |
scientific article; zbMATH DE number 2085741 |
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The transform likelihood ratio method for rare event simulation with heavy tails (English)
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10 August 2004
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cross-entropy
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heavy tail distributions
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rare events
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simulation
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importance sampling
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likelihood ratio
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