Simulating heavy tailed processes using delayed hazard rate twisting

DOI10.1145/566392.566394zbMath1390.65033OpenAlexW2077846544MaRDI QIDQ4564822

Perwez Shahabuddin, Sandeep Juneja

Publication date: 12 June 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/566392.566394

zbMATH Keywords

importance samplingrare eventsvariance reductionheavy tailed distributionshazard rate twistingsubexponential twisting

Mathematics Subject Classification ID

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