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Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations.

Jose H. BlanchetHenrik HultKevin Leder
Published in: ACM Trans. Model. Comput. Simul. (2013)
Keyphrases
  • heavy tailed
  • rare events
  • importance sampling
  • monte carlo
  • generalized gaussian
  • feature vectors
  • graphical models
  • stochastic processes