Simulation and estimation of extreme quantiles and extreme probabilities
From MaRDI portal
Publication:649122
DOI10.1007/s00245-011-9135-zzbMath1227.62034OpenAlexW2109418004WikidataQ58315129 ScholiaQ58315129MaRDI QIDQ649122
Eric Matzner-Løber, Arnaud Guyader, Nicolas W. Hengartner
Publication date: 30 November 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-011-9135-z
Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
Related Items
Computing transition rates for the 1-D stochastic Ginzburg-Landau-Allen-Cahn equation for finite-amplitude noise with a rare event algorithm ⋮ Recursive estimation of a failure probability for a Lipschitz function ⋮ Some Recent Results in Rare Event Estimation ⋮ Combinatorial analysis of the adaptive last particle method ⋮ Improving hospital layout planning through clinical pathway mining ⋮ Coupling rare event algorithms with data-based learned committor functions using the analogue Markov chain ⋮ Computing non-equilibrium trajectories by a deep learning approach ⋮ Central Limit Theorem for Adaptive Multilevel Splitting Estimators in an Idealized Setting ⋮ Nested sampling methods ⋮ On the Asymptotic Normality of Adaptive Multilevel Splitting ⋮ Adaptive multilevel splitting: Historical perspective and recent results ⋮ On a new class of score functions to estimate tail probabilities of some stochastic processes with adaptive multilevel splitting ⋮ Point process-based Monte Carlo estimation ⋮ Hastings-Metropolis algorithm on Markov chains for small-probability estimation ⋮ Analysis of adaptive multilevel splitting algorithms in an idealized case ⋮ Rare event simulation and splitting for discontinuous random variables ⋮ Recent advances in various fields of numerical probability ⋮ Statistical behaviour of adaptive multilevel splitting algorithms in simple models ⋮ Computing return times or return periods with rare event algorithms ⋮ On synchronized Fleming–Viot particle systems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
- The generalized cross entropy method, with applications to probability density estimation
- Markov chains and stochastic stability
- Sequential Monte Carlo for rare event estimation
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- The Gibbs cloner for combinatorial optimization, counting and sampling
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- Introduction to rare event simulation.
- Markov chains for exploring posterior distributions. (With discussion)
- Theory of statistics
- Multilevel Splitting for Estimating Rare Event Probabilities
- Properties of nested sampling
- On the Use of Smoothing to Improve the Performance of the Splitting Method
- Sequential Monte Carlo Samplers
- Adaptive Multilevel Splitting for Rare Event Analysis
- Optimal Watermark Embedding and Detection Strategies Under Limited Detection Resources
- The Asymptotic Efficiency of Simulation Estimators
- Asymptotic Statistics
- Nested sampling for general Bayesian computation
