Improved cross-entropy method for estimation
Date
2012
Authors
Chan, Chi Chun (Joshua)
Kroese, Dirk
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Publisher
Kluwer Academic Publishers
Abstract
The cross-entropy (CE) method is an adaptive importance sampling procedure that has been successfully applied to a diverse range of complicated simulation problems. However, recent research has shown that in some high-dimensional settings, the likelihood
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Keywords
Keywords: Cross-entropy; Importance sampling; Kullback-Leibler divergence; Likelihood ratio degeneracy; Rare-event simulation; t copula; Variance minimization
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Source
Statistics and Computing
Type
Journal article
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Restricted until
2037-12-31
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