Optimal importance sampling for some quadratic forms of ARMA processes

DOI10.1109/18.476309zbMath0845.62064OpenAlexW1964298061MaRDI QIDQ4880305

Mauro Piccioni, Anna Gigli, Piero Barone

Publication date: 18 September 1996

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.476309

zbMATH Keywords

tail probabilityMonte Carlo simulationslikelihood ratio statisticspectral densityToeplitz formsoptimal detection of signalsasymptotically efficient importance sampling distributioninvertible Gaussian ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Large deviations (60F10) Statistical aspects of information-theoretic topics (62B10)

Related Items (4)

Large deviations for quadratic forms of stationary Gaussian processes ⋮ Efficient bootstrap methods: A review ⋮ Sharp large deviations for Gaussian quadratic forms with applications ⋮ The computation of accuracy of quality parameters by means of a monte carlo simulation

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