Improved algorithms for rare event simulation with heavy tails

Advances in Applied Probability

Volumn 38, Issue 2, 2006, Pages 545-558

  Asmussen, Søren ^a   Kroese, Dirk P ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Bounded relative error; Complexity; Conditional Monte Carlo conditioning; Control variate; Logarithmic efficiency; M G 1 queue; Pollaczek Khinchin formula; Rare event; Regular variation; Stratification; Subexponential distribution; Weibull distribution

Indexed keywords

COMPUTER SIMULATION; ERRORS; ESTIMATION; MONTE CARLO METHODS; WEIBULL DISTRIBUTION;

BOUNDED RELATIVE ERROR; CONTROL VARIATE; LOGARITHMIC EFFICIENCY; POLLACZEK-KHINCHIN FORMULA; REGULAR VARIATION; SUBEXPONENTIAL DISTRIBUTION;

ALGORITHMS;

EID: 33745952352     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1151337084     Document Type: Article

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