Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling

10.1239/aap/1354716593

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Bibliographic Details
Main Authors:	Chan, H.P., Deng, S., Lai, T.-L.
Other Authors:	STATISTICS & APPLIED PROBABILITY
Published:	2014
Subjects:	Efficient simulation Heavy-tailed distribution Regularly varying tail Sequential Monte Carlo
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/105323
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-105323
record_format	dspace
spelling	sg-nus-scholar.10635-1053232021-10-20T10:34:19Z Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling Chan, H.P. Deng, S. Lai, T.-L. STATISTICS & APPLIED PROBABILITY Efficient simulation Heavy-tailed distribution Regularly varying tail Sequential Monte Carlo 10.1239/aap/1354716593 Advances in Applied Probability 44 4 1173-1196 AAPBB 2014-10-28T05:14:37Z 2014-10-28T05:14:37Z 2012-12 Chan, H.P., Deng, S., Lai, T.-L. (2012-12). Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling. Advances in Applied Probability 44 (4) : 1173-1196. ScholarBank@NUS Repository. https://doi.org/10.1239/aap/1354716593 00018678 http://scholarbank.nus.edu.sg/handle/10635/105323 NOT_IN_WOS Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Efficient simulation Heavy-tailed distribution Regularly varying tail Sequential Monte Carlo
spellingShingle	Efficient simulation Heavy-tailed distribution Regularly varying tail Sequential Monte Carlo Chan, H.P. Deng, S. Lai, T.-L. Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
description	10.1239/aap/1354716593
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Chan, H.P. Deng, S. Lai, T.-L.
author	Chan, H.P. Deng, S. Lai, T.-L.
author_sort	Chan, H.P.
title	Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
title_short	Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
title_full	Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
title_fullStr	Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
title_full_unstemmed	Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
title_sort	rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105323
_version_	1715198525078241280

Rare-event simulation of heavy-tailed random walks by sequential importance sampling and resampling

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