Point process-based Monte Carlo estimation

DOI10.1007/s11222-015-9617-yzbMath1505.62414arXiv1412.6368OpenAlexW2963963665MaRDI QIDQ517403

Clément Walter

Publication date: 23 March 2017

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.6368

zbMATH Keywords

central limit theoremheavy tailsnested samplingrare event simulationlast particle algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)

Related Items (4)

Nested sampling methods ⋮ A randomized multi-index sequential Monte Carlo method ⋮ Unbiased Estimators and Multilevel Monte Carlo ⋮ Dynamic nested sampling: an improved algorithm for parameter estimation and evidence calculation

Cites Work

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