In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...

In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...

The fields of probability and statistics are built over the abstract concepts of probability space and random variable. This has given rise to elegant and powerful mathematical theory, but exact implementation of these concepts on conventional computers seems impossible. In practice, random...