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Bounded relative error importance sampling and rare event simulation
Recurso electrónico / electronic resource
MAP20150027078
McLeish, Don L. ‌
Bounded relative error importance sampling and rare event simulation / Don L. McLeish
Sumario: We consider estimating tail events using exponential families of importance sampling distributions. When the cannonical sufficient statistic for the exponential family mimics the tail behaviour of the underlying cumulative distribution function, we can achieve bounded relative error for estimating tail probabilities. Examples of rare event simulation from various distributions including Tukey's g&h distribution are provided.
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 377-398
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