Efficient simulation for dependent rare events with applications to extremes
Probability
2016-10-10 v2
Abstract
We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in a numerical example.
Cite
@article{arxiv.1609.09725,
title = {Efficient simulation for dependent rare events with applications to extremes},
author = {Lars Nørvang Andersen and Patrick J. Laub and Leonardo Rojas-Nandayapa},
journal= {arXiv preprint arXiv:1609.09725},
year = {2016}
}
Comments
Fixed a few minor typographical errors