Importance Sampling for rare events and conditioned random walks
Computation
2009-10-13 v1 Probability
Statistics Theory
Statistics Theory
Abstract
This paper introduces a new Importance Sampling scheme, called Adaptive Twisted Importance Sampling, which is adequate for the improved estimation of rare event probabilities in he range of moderate deviations pertaining to the empirical mean of real i.i.d. summands. It is based on a sharp approximation of the density of long runs extracted from a random walk conditioned on its end value.
Cite
@article{arxiv.0910.1819,
title = {Importance Sampling for rare events and conditioned random walks},
author = {Michel Broniatowski and Ya'Acov Ritov},
journal= {arXiv preprint arXiv:0910.1819},
year = {2009}
}