A review of conditional rare event simulation for tail probabilities of heavy tailed random variables (Q740945)
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scientific article; zbMATH DE number 6341999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A review of conditional rare event simulation for tail probabilities of heavy tailed random variables |
scientific article; zbMATH DE number 6341999 |
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A review of conditional rare event simulation for tail probabilities of heavy tailed random variables (English)
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9 September 2014
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This is a review on existing methods for approximating the tail probability of a sum of random variables. While a general overview of Monte Carlo methods is discussed, particular emphasis is given to the heavy-tailed marginal distributions case and the conditional Monte Carlo technique within the area of rare event simulation. Conditional Monte Carlo estimators are studied in the independent and non-independent case and analytical asymptotic approximations are discussed as well.
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rare-event simulation
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conditional Monte Carlo
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heavy tails
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non-independent random variables
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asymptotic approximations
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