Efficient Simulation for Dependent Rare Events with Applications to Extremes

Andersen, Lars Norvang, Laub, Patrick J and Rojas-Nandayapa, Leonardo ORCID: 0000-0001-5652-3183 (2018) Efficient Simulation for Dependent Rare Events with Applications to Extremes. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 20 (1). pp. 385-409.

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Official URL: http://dx.doi.org/10.1007/s11009-017-9557-4

Abstract

We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in a numerical example.

Item Type:	Article
Additional Information:	Fixed a few minor typographical errors
Uncontrolled Keywords:	Rare-event probabilities, Bounded relative error, Extremal values, Copulas
Depositing User:	Symplectic Admin
Date Deposited:	11 Dec 2017 11:40
Last Modified:	19 Jan 2023 06:48
DOI:	10.1007/s11009-017-9557-4
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3013726