Improved cross-entropy method for estimation

DOI10.1007/s11222-011-9275-7zbMath1252.62003OpenAlexW2078923597WikidataQ118141929 ScholiaQ118141929MaRDI QIDQ693334

Dirk P. Kroese, Joshua C. C. Chan

Publication date: 7 December 2012

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

Full work available at URL: https://espace.library.uq.edu.au/view/UQ:205500/improvedCE.pdf

zbMATH Keywords

importance samplingKullback-Leibler divergencevariance minimizationrare-event simulationlikelihood ratio degeneracy\(t\) copulas

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10)

Related Items (7)

Computation of credit portfolio loss distribution by a cross entropy method ⋮ Accurate and fast small \(p\)-value estimation for permutation tests in high-throughput genomic data analysis with the cross-entropy method ⋮ Cross-entropy method for estimation of posterior expectation in Bayesian VAR models ⋮ A New Variance Reduction Technique for Estimating Value-at-Risk ⋮ Markov chain importance sampling with applications to rare event probability estimation ⋮ Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling ⋮ A Cross-Entropy Scheme for Mixtures

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The transform likelihood ratio method for rare event simulation with heavy tails
• Rare-event probability estimation with conditional Monte Carlo
• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Optimization of computer simulation models with rare events
• The cross-entropy method for combinatorial and continuous optimization
• The cross-entropy method for network reliability estimation
• Importance sampling simulations of Markovian reliability systems using cross-entropy
• Stochastic simulation: Algorithms and analysis
• A comparison of cross-entropy and variance minimization strategies
• A Fast Cross-Entropy Method for Estimating Buffer Overflows in Queueing Networks
• Marginal Likelihood from the Gibbs Output
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation
• A note on estimating false alarm rates via importance sampling
• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• Marginal Likelihood From the Metropolis–Hastings Output
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling

This page was built for publication: Improved cross-entropy method for estimation