Rare-event probability estimation with conditional Monte Carlo (Q666350)
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scientific article; zbMATH DE number 6012982
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Rare-event probability estimation with conditional Monte Carlo |
scientific article; zbMATH DE number 6012982 |
Statements
Rare-event probability estimation with conditional Monte Carlo (English)
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8 March 2012
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bounded relative error
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conditional Monte Carlo
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cross-entropy
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screening
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bottlenecks
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degeneracy
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heavy-tailed distribution
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rare event
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subexponential distribution
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normal copula
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\(t\)-copula
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credit risks
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