Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields

DOI10.1145/2567892zbMath1322.60068OpenAlexW2119671870MaRDI QIDQ5176919

Jingchen Liu, Gongjun Xu

Publication date: 5 March 2015

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

Full work available at URL: https://doi.org/10.1145/2567892

zbMATH Keywords

exponential integralimportance samplingGaussian random fields

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (5)

Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields ⋮ Speeding up Monte Carlo simulations for the adaptive sum of powered score test with importance sampling ⋮ Chernoff index for Cox test of separate parametric families ⋮ Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix ⋮ Uniformly efficient simulation for extremes of Gaussian random fields

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