Skip navigation
Skip navigation

Rare-event probability estimation with conditional Monte Carlo

Chan, Chi Chun (Joshua); Kroese, Dirk


Estimation of rare-event probabilities in high-dimensional settings via importance sampling is a difficult problem due to the degeneracy of the likelihood ratio. In fact, it is generally recommended that Monte Carlo estimators involving likelihood ratios

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Annals of Operations Research
DOI: 10.1007/s10479-009-0539-y


File Description SizeFormat Image
01_Chan_Rare-event_probability_2011.pdf455.99 kBAdobe PDFThumbnail
02_Chan_Rare-event_probability_2011.pdf642.49 kBAdobe PDFThumbnail

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator