Name
Title | ||
|---|---|---|
Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations |
Abstract | ||
|---|---|---|
In this article, rare-event simulation for stochastic recurrence equations of the form Xn+1=An+1Xn+Bn+1, X0=0 is studied, where {An;n≥ 1} and {Bn;n≥ 1} are independent sequences consisting of independent and identically distributed real-valued random variables. It is assumed that the tail of the distribution of B1 is regularly varying, whereas the distribution of A1 has a suitably light tail. The problem of efficient estimation, via simulation, of quantities such as P{Xnb} and P{supk≤nXk b} for large b and n is studied. Importance sampling strategies are investigated that provide unbiased estimators with bounded relative error as b and n tend to infinity. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1145/2517451 | ACM Trans. Model. Comput. Simul. |
Keywords | Field | DocType |
efficient estimation,rare-event simulation,random variable,unbiased estimator,bounded relative error,suitably light tail,independent sequence,form xn,heavy-tailed innovation,stochastic recurrence equation,large b,importance sampling | Random variable,Combinatorics,Importance sampling,Infinity,Recurrence equations,Independent and identically distributed random variables,Statistics,Approximation error,Mathematics,Estimator,Bounded function | Journal |
Volume | Issue | ISSN |
23 | 4 | 1049-3301 |
Citations | PageRank | References |
0 | 0.34 | 7 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jose Blanchet | 1 | 22 | 6.04 |
| Henrik Hult | 2 | 43 | 5.54 |
| Kevin Leder | 3 | 13 | 3.12 |