Efficient Simulation for Dependent Rare Events with Applications to Extremes

We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rar...

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Bibliographic Details
Published inMethodology and computing in applied probability Vol. 20; no. 1; pp. 385 - 409
Main Authors Andersen, Lars Nørvang, Laub, Patrick J., Rojas-Nandayapa, Leonardo
Format Journal Article
LanguageEnglish
Published New York Springer US 01.03.2018
Springer Nature B.V
Springer Verlag
Subjects
Business and Management
Computer Science
Computer simulation
Economics
Electrical Engineering
Estimators
Life Sciences
Mathematics
Mathematics and Statistics
Modeling and Simulation
Probability
Statistics
Extremal values
Copulas
68U20
65C05
65C60
Rare-event probabilities
Bounded relative error
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Summary:We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in numerical examples.
ISSN:1387-5841
1573-7713
DOI:10.1007/s11009-017-9557-4