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Rare-event probability estimation with conditional Monte Carlo

Date

Authors

Chan, Chi Chun (Joshua)

Kroese, Dirk

Publisher

Kluwer Academic Publishers

Abstract

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

Keywords

Keywords: Bottlenecks; Bounded relative error; Conditional Monte Carlo; Credit risks; Cross-entropy; Degeneracy; Heavy-tailed distribution; Normal copula; Rare event; Screening; Subexponential distribution; t-copula

URI

http://hdl.handle.net/1885/32820

Collections

ANU Research Publications

Source

Annals of Operations Research

Type

Journal article

DOI

10.1007/s10479-009-0539-y

Restricted until

2037-12-31

Downloads

File

Description

01_Chan_Rare-event_probability_2011.pdf (455.99 KB)

02_Chan_Rare-event_probability_2011.pdf (642.49 KB)