Importance sampling for sums of random variables with regularly varying tails
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Publication:4565385
DOI10.1145/1243991.1243995zbMath1390.65002OpenAlexW2031575583MaRDI QIDQ4565385
Paul Dupuis, Hui Wang, Kevin Leder
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/10.1145/1243991.1243995
rare eventsvariance reductionregularly varying tailsbounded relative errordynamic importance samplingasymptotically optimal relative error
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