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Rare-event probability estimation with conditional Monte Carlo

Chan, Chi Chun (Joshua); Kroese, Dirk

Description

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
URI: http://hdl.handle.net/1885/32820
Source: Annals of Operations Research
DOI: 10.1007/s10479-009-0539-y

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