Rare event simulation and splitting for discontinuous random variables
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Publication:2786505
DOI10.1051/ps/2015017zbMath1416.65022arXiv1507.00919OpenAlexW2963507303MaRDI QIDQ2786505
Publication date: 12 February 2016
Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.00919
countingsequential Monte Carlorare event simulationmultilevel splittinglast particle algorithmextreme event estimation
Monte Carlo methods (65C05) Estimation in survival analysis and censored data (62N02) Sequential estimation (62L12)
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Nested sampling methods ⋮ A rare event approach to high-dimensional approximate Bayesian computation
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