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  • Search: subject:"Logarithmic efficiency"
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Year of publication
Subject
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Bounded relative error 1 Complexity 1 Conditional Monte Carlo 1 Conditional Monte Carlo conditioning 1 Control variate 1 Distributions 1 Large deviations 1 Log-normal distribution 1 Logarithmic efficiency 1 Lognormal 1 M/G/1 queue 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Option pricing theory 1 Optionspreistheorie 1 Pollaczek-Khinchin formula 1 Quasi Monte Carlo 1 Rare event 1 Rare-event simulation 1 Regular variation 1 Second-order efficiency 1 Simulation 1 Statistical distribution 1 Statistische Verteilung 1 Stratification 1 Subexponential distribution 1 Times 1 Weibull distribution 1 logarithmic efficiency 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Aufsatz im Buch 1 Book section 1
Language
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English 1 Undetermined 1
Author
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Asmussen, Søren 1 Botev, Zdravko I. 1 C. C. Heyde 1 Kroese, Dirk P. 1 Mackinlay, Daniel 1 Salomone, Robert 1
Published in...
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Annals of operations research ; volume 280, numbers 1/2 (September 2019) 1
Source
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BASE 1 ECONIS (ZBW) 1
Showing 1 - 2 of 2
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Fast and accurate computation of the distribution of sums of dependent log-normals
Botev, Zdravko I.; Salomone, Robert; Mackinlay, Daniel - 2019
Persistent link: https://www.econbiz.de/10012116201
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Improved algorithms for rare event simulation with heavy tails
Asmussen, Søren; Kroese, Dirk P. - 2006
The estimation of P(S-n u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n u) = nP(S, u, M-n = Y-n), where M-n = max(Y-1,...,...
Persistent link: https://www.econbiz.de/10009448797
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