SEMIPARAMETRIC CROSS ENTROPY FOR RARE-EVENT SIMULATION



Botev, ZI, Ridder, A and Rojas-Nandayapa, L
(2016) SEMIPARAMETRIC CROSS ENTROPY FOR RARE-EVENT SIMULATION. JOURNAL OF APPLIED PROBABILITY, 53 (3). 633 - 649.

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Item Type: Article
Uncontrolled Keywords: Light-tailed, regularly-varying, subexponential, rare-event probability, cross entropy method
Depositing User: Symplectic Admin
Date Deposited: 04 Nov 2016 08:38
Last Modified: 09 Jan 2021 08:04
DOI: 10.1017/jpr.2016.31
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3004345