State-independent importance sampling for estimating large deviation probabilities in heavy-tailed random walks.
Karthyek Rajhaa A. M.Sandeep JunejaPublished in: VALUETOOLS (2012)
Keyphrases
- large deviations
- importance sampling
- random walk
- heavy tailed
- markov chain
- transition probabilities
- monte carlo
- rare events
- state dependent
- stationary distribution
- state space
- particle filter
- kalman filter
- steady state
- probability distribution
- approximate inference
- markov chain monte carlo
- generalized gaussian
- posterior distribution
- queue length
- machine learning
- particle filtering
- pairwise
- feature selection