Estimates and confidence intervals for importance sampling sensitivity analysis

DOI10.1016/0895-7177(96)00041-6zbMath0855.62020OpenAlexW2035655679MaRDI QIDQ1921102

T. C. Hesterberg

Publication date: 11 August 1996

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(96)00041-6

zbMATH Keywords

confidence intervalssimulationsensitivity analysisMonte Carloimportance samplingperturbationsvariance reductionscore functionlikelihood ratio method

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Estimates and confidence intervals for importance sampling sensitivity analysis ⋮ Density modification-based reliability sensitivity analysis

Cites Work

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• Estimates and confidence intervals for importance sampling sensitivity analysis
• Importance Sampling for Stochastic Simulations
• Monte Carlo Estimation under Different Distributions Using the Same Simulation
• Weighted Average Importance Sampling and Defensive Mixture Distributions

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