Efficient importance sampling for monte carlo evaluation of exceedance probabilities

10.1214/105051606000000664

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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

id	sg-nus-scholar.10635-105111
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spelling	sg-nus-scholar.10635-1051112023-10-30T09:43:16Z Efficient importance sampling for monte carlo evaluation of exceedance probabilities Chan, H.P. Lai, T.L. STATISTICS & APPLIED PROBABILITY Boundary crossing probability Importance sampling Markov additive process Regeneration 10.1214/105051606000000664 Annals of Applied Probability 17 2 440-473 2014-10-28T05:11:42Z 2014-10-28T05:11:42Z 2007-04 Article Chan, H.P., Lai, T.L. (2007-04). Efficient importance sampling for monte carlo evaluation of exceedance probabilities. Annals of Applied Probability 17 (2) : 440-473. ScholarBank@NUS Repository. https://doi.org/10.1214/105051606000000664 10505164 http://scholarbank.nus.edu.sg/handle/10635/105111 000245843200002 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Boundary crossing probability Importance sampling Markov additive process Regeneration
spellingShingle	Boundary crossing probability Importance sampling Markov additive process Regeneration Chan, H.P. Lai, T.L. Efficient importance sampling for monte carlo evaluation of exceedance probabilities
description	10.1214/105051606000000664
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	Efficient importance sampling for monte carlo evaluation of exceedance probabilities
title_short	Efficient importance sampling for monte carlo evaluation of exceedance probabilities
title_full	Efficient importance sampling for monte carlo evaluation of exceedance probabilities
title_fullStr	Efficient importance sampling for monte carlo evaluation of exceedance probabilities
title_full_unstemmed	Efficient importance sampling for monte carlo evaluation of exceedance probabilities
title_sort	efficient importance sampling for monte carlo evaluation of exceedance probabilities
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105111
_version_	1781787992486051840

Efficient importance sampling for monte carlo evaluation of exceedance probabilities

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