Using the importance sampling identity to bound tail probabilities

Probability in the Engineering and Informational Sciences

Volumn 12, Issue 4, 1998, Pages 445-452

  Ross, Sheldon M ^a  

^a DEPARTMENT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ENGINEERING; INDUSTRIAL ENGINEERING;

GAMMA RANDOM VARIABLES; TAIL PROBABILITY;

IMPORTANCE SAMPLING;

EID: 0032331721     PISSN: 02699648     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0269964800005313     Document Type: Article

References (5)

1. Abramowitz, M. & Stegun, I. (1964). Handbook of mathematical functions. New York: Dover.
2. Feller, W. (1950). An introduction to probability theory and its applications, Vol. 1. New York: Wiley.
3. Johnson, N., Kotz, S., & Balakrishnan, N. (1994). Continuous univariate distributions, Vol. 1, 2nd ed. New York: John Wiley.
4. Philips, T.K. & Nelson, R. (1995). The moment bound is tighter than Chernoff's bound for positive tail probabilities. The American Statistician 49: 175-178.
5. Ross, S.M. (1997). Introduction to probability models, 6th ed. San Diego: Academic Press.