Fast and accurate computation of the distribution of sums of dependent log-normals
Year of publication: |
2019
|
---|---|
Authors: | Botev, Zdravko I. ; Salomone, Robert ; Mackinlay, Daniel |
Published in: |
Annals of operations research ; volume 280, numbers 1/2 (September 2019). - New York, NY, USA : Springer. - 2019, p. 19-46
|
Subject: | Log-normal distribution | Lognormal | Rare-event simulation | Logarithmic efficiency | Large deviations | Conditional Monte Carlo | Quasi Monte Carlo | Second-order efficiency | Theorie | Theory | Statistische Verteilung | Statistical distribution | Monte-Carlo-Simulation | Monte Carlo simulation | Simulation |
-
Rare-event simulation for distribution networks
Blanchet, Jose, (2019)
-
Nath, Dilip C., (2016)
-
Chapter 1 Bayesian Forecasting
Geweke, John, (2006)
- More ...
-
Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I., (2015)
-
Semiparametric cross entropy for rare-event simulation
Botev, Zdravko I., (2013)
-
Static network reliability estimation via generalized splitting
Botev, Zdravko I., (2013)
- More ...