Efficient importance sampling for monte carlo evaluation of exceedance probabilities

Efficient importance sampling for monte carlo evaluation of exceedance probabilities

10.1214/105051606000000664

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Bibliographic Details
Main Authors: Chan, H.P., Lai, T.L.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Boundary crossing probability
Importance sampling
Markov additive process
Regeneration
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105111
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Institution: National University of Singapore
Description
Summary:10.1214/105051606000000664

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