A Sequential Monte Carlo approach to computing tail probabilities in stochastic models

10.1214/10-AAP758

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Bibliographic Details
Main Authors:	Chan, H.P., Lai, T.L.
Other Authors:	STATISTICS & APPLIED PROBABILITY
Format:	Article
Published:	2014
Subjects:	Exceedance probabilities Large deviations Logarithmic efficiency Sequential importance sampling and resampling
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/104969
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-104969
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spelling	sg-nus-scholar.10635-1049692024-11-10T15:20:48Z A Sequential Monte Carlo approach to computing tail probabilities in stochastic models Chan, H.P. Lai, T.L. STATISTICS & APPLIED PROBABILITY Exceedance probabilities Large deviations Logarithmic efficiency Sequential importance sampling and resampling 10.1214/10-AAP758 Annals of Applied Probability 21 6 2315-2342 2014-10-28T05:09:33Z 2014-10-28T05:09:33Z 2011-12 Article Chan, H.P., Lai, T.L. (2011-12). A Sequential Monte Carlo approach to computing tail probabilities in stochastic models. Annals of Applied Probability 21 (6) : 2315-2342. ScholarBank@NUS Repository. https://doi.org/10.1214/10-AAP758 10505164 http://scholarbank.nus.edu.sg/handle/10635/104969 000298249900009 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Exceedance probabilities Large deviations Logarithmic efficiency Sequential importance sampling and resampling
spellingShingle	Exceedance probabilities Large deviations Logarithmic efficiency Sequential importance sampling and resampling Chan, H.P. Lai, T.L. A Sequential Monte Carlo approach to computing tail probabilities in stochastic models
description	10.1214/10-AAP758
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Chan, H.P. Lai, T.L.
format	Article
author	Chan, H.P. Lai, T.L.
author_sort	Chan, H.P.
title	A Sequential Monte Carlo approach to computing tail probabilities in stochastic models
title_short	A Sequential Monte Carlo approach to computing tail probabilities in stochastic models
title_full	A Sequential Monte Carlo approach to computing tail probabilities in stochastic models
title_fullStr	A Sequential Monte Carlo approach to computing tail probabilities in stochastic models
title_full_unstemmed	A Sequential Monte Carlo approach to computing tail probabilities in stochastic models
title_sort	sequential monte carlo approach to computing tail probabilities in stochastic models
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/104969
_version_	1821203225604259840

A Sequential Monte Carlo approach to computing tail probabilities in stochastic models

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