Rare-event probability estimation with conditional Monte Carlo
Date
2011
Authors
Chan, Chi Chun (Joshua)
Kroese, Dirk
Journal Title
Journal ISSN
Volume Title
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
Description
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
Citation
Collections
Source
Annals of Operations Research
Type
Journal article
Book Title
Entity type
Access Statement
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Restricted until
2037-12-31