Simulation and Estimation of Extreme Quantiles and Extreme Probabilities

Let X be a random vector with distribution μ on ℝ d and Φ be a mapping from ℝ d to ℝ. That mapping acts as a black box, e.g., the result from some computer experiments for which no analytical expression is available. This paper presents an efficient algorithm to estimate a tail probability given a q...

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Bibliographic Details
Published in:	Applied mathematics & optimization Vol. 64; no. 2; pp. 171 - 196
Main Authors:	Guyader, Arnaud, Hengartner, Nicolas, Matzner-Løber, Eric
Format:	Journal Article
Language:	English
Published:	New York Springer-Verlag 01.10.2011 Springer Nature B.V Springer Verlag (Germany)
Subjects:	ALGORITHMS Calculus of Variations and Optimal Control; Optimization Computer simulation COMPUTERIZED SIMULATION Control Digital broadcasting Digital rights management Digital watermarks False alarms Information technology MAPPING Mathematical analysis Mathematical and Computational Physics MATHEMATICAL METHODS AND COMPUTING Mathematical Methods in Physics Mathematical models Mathematics Mathematics and Statistics Monte Carlo simulation Numerical and Computational Physics Optimization Poisson distribution PROBABILITY Quantiles RANDOMNESS Simulation Studies Systems Theory Theoretical VECTORS Vectors (mathematics) Rare event Metropolis-Hastings Monte Carlo simulation Watermarking
ISSN:	0095-4616, 1432-0606
Online Access:	Get full text
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