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In rare event simulation, we look for estimators such that the relative accuracy of the output is ''controlled'' when the rarity is getting more and more critical. Different robustness properties have been defined in the literature, that an estimator is expected to satisfy. Though, those...
Persistent link: https://www.econbiz.de/10010326256
In: <I>Proceedings Winter Simulation Conference</I>, 9-12 December 2012, pages 387-398.<P> In rare event simulation, we look for estimators such that the relative accuracy of the output is ''controlled'' when the rarity is getting more and more critical. Different robustness properties have been defined...</p></i>
Persistent link: https://www.econbiz.de/10011257648
This discussion paper resulted in a publication in the <I>Annals of Operations Research </I> (2005). Volume 134, issue 1, pages 119-136.<P> This paper reports simulation experiments, applying the cross entropy method such as the importance sampling algorithm for efficient estimation of rare event...</p></i>
Persistent link: https://www.econbiz.de/10011255783
Persistent link: https://www.econbiz.de/10009722965