Efficient Simulation for Dependent Rare Events with Applications to Extremes-Reference-Cited by-同舟云学术

Efficient Simulation for Dependent Rare Events with Applications to Extremes

Published:2017-04-19 Issue:1 Volume:20 Page:385-409
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Andersen Lars Nørvang^ORCID,Laub Patrick J.^ORCID,Rojas-Nandayapa Leonardo^ORCID

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11009-017-9557-4/fulltext.html

Reference37 articles.

1. Adler RJ, Blanchet JH, Liu J (2012) Efficient Monte Carlo for high excursions of Gaussian random fields. Ann Appl Probab 22(3):1167–1214

2. Andersen LN, Laub PJ, Rojas-Nandayapa L, Rojas-Nandayapa L (2016) Online accompaniment for “Efficient simulation for dependent rare events with applications to extremes. https://github.com/Pat-Laub/RareMaxima

3. Anderson TW (1984) An introduction to multivariate statistical analysis, 2nd edn. Wiley Series in Probability and Mathematical Statistics: Probability and Mathematical Statistics. Wiley Inc, New York

4. Anderson TW (2003) An introduction to multivariate statistical analysis, 3rd edn. Wiley Series in Probability and Statistics. Wiley-Interscience, Hoboken, NJ

5. Asmussen S, Albrecher H (2010) Ruin probabilities, 2nd edn. Advanced Series on Statistical Science & Applied Probability, 14. World Scientific Publishing Co. Pte. Ltd., Hackensack, NJ. doi: 10.1142/9789814282536

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