Semiparametric cross entropy for rare-event simulation

DOI10.1017/JPR.2016.31zbMath1355.65022arXiv1310.3596OpenAlexW1554735902MaRDI QIDQ2836222

Ad Ridder, Zdravko I. Botev, Leonardo Rojas-Nandayapa

Publication date: 9 December 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.3596

zbMATH Keywords

rare-event simulationsampling methodcross entropy methodrare-event probabilitylight-tailedregularly-varying

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Sampling theory, sample surveys (62D05) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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