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A variant of importance splitting for rare event estimation: Fixed number of successes.

Michael AmreinHans R. Künsch
Published in: ACM Trans. Model. Comput. Simul. (2011)
Keyphrases
  • fixed number
  • rare events
  • importance sampling
  • monte carlo
  • finite number
  • class distribution
  • approximate inference
  • fraud detection
  • markov chain
  • social networks
  • probabilistic model