Efficient importance sampling for large sums of independent and identically distributed random variables

DOI10.1007/s11222-021-10055-1zbMath1475.62018arXiv2101.09514OpenAlexW3207464738MaRDI QIDQ2058910

Gerardo Rubino, Raúl Tempone, Abdul-Lateef Haji-Ali, Nadhir Ben Rached

Publication date: 10 December 2021

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.09514

zbMATH Keywords

importance samplingrare eventexponential twistinggamma is PDF

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics in engineering and industry; control charts (62P30) Monte Carlo methods (65C05)

Related Items (2)

State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables ⋮ Learning-based importance sampling via stochastic optimal control for stochastic reaction networks

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• Rare Event Simulation using Monte Carlo Methods
• Simulating heavy tailed processes using delayed hazard rate twisting
• Tail behavior of sums and differences of log-normal random variables

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