Efficient simulation of tail probabilities of sums of dependent random variables
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Publication:3094481
DOI10.1239/jap/1318940462zbMath1245.60048OpenAlexW2119272703MaRDI QIDQ3094481
Leonardo Rojas-Nandayapa, Jose H. Blanchet
Publication date: 25 October 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1318940462
tail probabilityimportance samplingvariance reductionrare-event simulationconditional Monte Carlolog-elliptical distribution
Extreme value theory; extremal stochastic processes (60G70) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50)
Related Items (5)
On the efficient simulation of the left-tail of the sum of correlated log-normal variates ⋮ Efficient algorithms for tail probabilities of exchangeable lognormal sums ⋮ Rare-Event Simulation for Distribution Networks ⋮ Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models ⋮ Exponential Family Techniques for the Lognormal Left Tail
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