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Markov chain importance sampling with applications to rare event probability estimation
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“The main limitation of the estimator l (with or without variable reordering) is that Var( l) is unknown and its estimate S 2 can be notoriously unreliable in the sense that the observed S 2 may be very small, while the true Var( l) is huge (Kroese et al., 2011;Botev et al., 2013).”
From The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting (2017) · cites this paper as Botev et al., 2013
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- Botev, Z.I., L’Ecuyer, P., Tuffin, B.: Importance sampling method based on a one-step look-ahead density from a Markov chain. In: Proceedings of the 2011 Winter Simulation Conference, Phoenix, AZ (2011)
- Botev, Z.I., L’Ecuyer, P., Rubino, G., Simard, R., Tuffin, B.: Static network reliability estimation via generalized splitting. INFORMS Journal on Computing (2012, to appear) · DOI
- Brereton, T.J., Chan, J.C.C., Kroese, D.P.: Fitting mixture importance sampling distributions via improved cross-entropy. In: Proceedings of the 2011 Winter Simulation Conference, Phoenix, AZ (2011)
- Bucklew, J.: Introduction to Rare-Event Simulation. Springer, New York (2004) · DOI · Paper page
- Cancela, H., El Khadiri, M., Rubino, G.: Rare event analysis by Monte Carlo techniques in static models. In: Rubino, G., Tuffin, B. (eds.) Rare Event Simulation Using Monte Carlo Methods, pp. 145–170. Wiley, New York (2009a). Chap. 7 · doi:10.1002/9780470745403.ch7
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- Chan, J.C.C., Glynn, P.W., Kroese, D.P.: A comparison of cross-entropy and variance minimization strategies. J. Appl. Probab. 48A, 183–194 (2011) · doi:10.1239/jap/1318940464
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Cited by
The Normal Law Under Linear Restrictions: Simulation and Estimation via Minimax Tilting
Botev, Z. I. (2017) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/rssb.12162 · Cited by 247
Self-citation
Metadata
- Authors
- Botev, Z. I., L’Ecuyer, P., & Tuffin, B.
- Venue
- Statistics and Computing
- Published
- 2011-12-17
- Volume
- 23
- Issue
- 2
- Pages
- 271-285
- ISSN
- 0960-3174
- 1573-1375
- Cited by
- 62
- References
- 0
- Language
- en
- Licence
- www.springer.com/tdm (tdm)
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- Botev, Z. I., L’Ecuyer, P., & Tuffin, B. (2013). Markov chain importance sampling with applications to rare event probability estimation. Statistics and Computing. https://doi.org/10.1007/s11222-011-9308-2
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