Sequential Monte Carlo for rare event estimation
نویسندگان
چکیده
منابع مشابه
Sequential Monte Carlo for rare event estimation
This paper discusses a novel strategy for simulating rare events and an associated Monte Carlo estimation of tail probabilities. Our method uses a system of interacting particles and exploits a FeynmanKac representation of that system to analyze their fluctuations. Our precise analysis of the variance of a standard multilevel splitting algorithm reveals an opportunity for improvement. This lead...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2011
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-011-9231-6