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

页码：533 / 542

页数：10

共 50 条

[21] Large excursion probabilities for random fields close to Gaussian ones
Rudzkis, Rimantas
Bakshaev, Aleksej
[J]. EXTREMES, 2021, 24 (03) : 591 - 615
[22] RARE-EVENT SIMULATION AND EFFICIENT DISCRETIZATION FOR THE SUPREMUM OF GAUSSIAN RANDOM FIELDS
Li, Xiaoou
Liu, Jingchen
[J]. ADVANCES IN APPLIED PROBABILITY, 2015, 47 (03) : 787 - 816
[23] Uniformly efficient importance sampling for the tail distribution of sums of random variables
Glasserman, Paul
Juneja, Sandeep
[J]. MATHEMATICS OF OPERATIONS RESEARCH, 2008, 33 (01) : 36 - 50
[24] Simulation of Gaussian Random Fields With One Derivative
Stein, Michael L.
[J]. JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 2012, 21 (01) : 155 - 173
[25] Lower tail probabilities for Gaussian processes
Li, WV
Shao, QM
[J]. ANNALS OF PROBABILITY, 2004, 32 (1A): : 216 - 242
[26] Excursion probabilities of isotropic and locally isotropic Gaussian random fields on manifolds
Cheng, Dan
[J]. EXTREMES, 2017, 20 (02) : 475 - 487
[27] Efficient simulation of tail probabilities in a queueing model with heterogeneous servers
Kuhn, Julia
Mandjes, Michel
[J]. STOCHASTIC MODELS, 2018, 34 (02) : 239 - 267
[28] Excursion probabilities of isotropic and locally isotropic Gaussian random fields on manifolds
Dan Cheng
[J]. Extremes, 2017, 20 : 475 - 487
[29] Efficient simulation of multidimensional random fields
Jin, S
Lutes, LD
Sarkani, S
[J]. JOURNAL OF ENGINEERING MECHANICS-ASCE, 1997, 123 (10): : 1082 - 1089
[30] Bounds on tail probabilities for quadratic forms in dependent sub-gaussian random variables
Zajkowski, Krzysztof
[J]. STATISTICS & PROBABILITY LETTERS, 2020, 167

← 1 2 3 4 5 →