On importance sampling with mixtures for random walks with heavy tails
نویسندگان
چکیده
منابع مشابه
Ordered random walks with heavy tails ∗
This paper continues our previous work [4] where we have constructed a k-dimensional random walk conditioned to stay in the Weyl chamber of type A. The construction was done under the assumption that the original random walk has k− 1 moments. In this note we continue the study of killed random walks in the Weyl chamber, and assume that the tail of increments is regularly varying of index α < k−...
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ژورنال
عنوان ژورنال: ACM Transactions on Modeling and Computer Simulation
سال: 2012
ISSN: 1049-3301,1558-1195
DOI: 10.1145/2133390.2133392