On asymptotically efficient simulation of large deviation probabilities

Advances in Applied Probability

Volumn 37, Issue 2, 2005, Pages 539-552

  Dieker, A B ^a   Mandjes, Michel ^b  

^a UNIVERSITY OF TWENTE   (Netherlands)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Asymptotic efficiency; Importance sampling; Large deviation

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; PROBABILITY DISTRIBUTIONS; SAMPLING; STATISTICAL METHODS;

ASYMPTOTIC EFFICIENCY; IMPORTANCE SAMPLING; LARGE DEVIATION;

PROBABILITY;

EID: 22244441147     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1118858638     Document Type: Article

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