Efficient large deviation estimation based on importance sampling
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Publication:2202311
DOI10.1007/s10955-020-02589-xzbMath1448.62061arXiv2003.05274OpenAlexW3099662146MaRDI QIDQ2202311
Hugo Touchette, Arnaud Guyader
Publication date: 18 September 2020
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.05274
Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Large deviations (60F10)
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