UNIFORMLY EFFICIENT SIMULATION FOR TAIL PROBABILITIES OF GAUSSIAN RANDOM FIELDS

被引：0
|
作者：
Xu, Gongjun [1 ]
机构：
[1] Univ Minnesota, Sch Stat, Minneapolis, MN 55455 USA
来源：
PROCEEDINGS OF THE 2014 WINTER SIMULATION CONFERENCE (WSC) | 2014年
关键词：
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we consider rare-event simulation of the tail probabilities of Gaussian random fields. In particular, we design importance sampling estimators that are uniformly efficient for a family of Gaussian random fields with different mean and variance functions.
引用
收藏
页码：533 / 542
页数：10
相关论文
共 50 条
  • [11] Tail asymptotics for the extremes of bivariate Gaussian random fields
    Zhou, Yuzhen
    Xiao, Yimin
    [J]. BERNOULLI, 2017, 23 (03) : 1566 - 1598
  • [12] APPROXIMATE TAIL PROBABILITIES FOR THE MAXIMA OF SOME RANDOM-FIELDS
    SIEGMUND, D
    [J]. ANNALS OF PROBABILITY, 1988, 16 (02): : 487 - 501
  • [13] On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise
    Li, Xiaoou
    Liu, Jingchen
    Xu, Gongjun
    [J]. MATHEMATICS OF OPERATIONS RESEARCH, 2016, 41 (01) : 236 - 246
  • [14] Tail behavior of anisotropic norms for Gaussian random fields
    Lifshits, M
    Nazarov, A
    Nikitin, Y
    [J]. COMPTES RENDUS MATHEMATIQUE, 2003, 336 (01) : 85 - 88
  • [15] Fast simulation of Gaussian random fields
    Lang, Annika
    Potthoff, Juergen
    [J]. MONTE CARLO METHODS AND APPLICATIONS, 2011, 17 (03): : 195 - 214
  • [16] Efficient simulation of tail probabilities of sums of correlated lognormals
    Søren Asmussen
    José Blanchet
    Sandeep Juneja
    Leonardo Rojas-Nandayapa
    [J]. Annals of Operations Research, 2011, 189 : 5 - 23
  • [17] Anisotropic Gaussian random fields: criteria for hitting probabilities and applications
    Hinojosa-Calleja, Adrian
    Sanz-Sole, Marta
    [J]. STOCHASTICS AND PARTIAL DIFFERENTIAL EQUATIONS-ANALYSIS AND COMPUTATIONS, 2021, 9 (04): : 984 - 1030
  • [18] Efficient simulation of tail probabilities of sums of correlated lognormals
    Asmussen, Soren
    Blanchet, Jose
    Juneja, Sandeep
    Rojas-Nandayapa, Leonardo
    [J]. ANNALS OF OPERATIONS RESEARCH, 2011, 189 (01) : 5 - 23
  • [19] Anisotropic Gaussian random fields: criteria for hitting probabilities and applications
    Adrián Hinojosa-Calleja
    Marta Sanz-Solé
    [J]. Stochastics and Partial Differential Equations: Analysis and Computations, 2021, 9 : 984 - 1030
  • [20] Large excursion probabilities for random fields close to Gaussian ones
    Rimantas Rudzkis
    Aleksej Bakshaev
    [J]. Extremes, 2021, 24 : 591 - 615
12345