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Propagation of Input Tail Uncertainty in Rare-Event Estimation: A Light versus Heavy Tail Dichotomy - MaRDI portal

Propagation of Input Tail Uncertainty in Rare-Event Estimation: A Light versus Heavy Tail Dichotomy

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Publication:6515574

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arXiv2401.00172MaRDI QIDQ6515574

Zhi Yuan Huang, Henry Lam, Zhenyuan Liu

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05) Large deviations (60F10)

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