12 search results - page 1 / 3 » Uniformly Efficient Importance Sampling for the Tail Distrib... |
MOR
2008
13 years 4 months ago
2008
QUESTA
2007
13 years 4 months ago
2007
Efficient estimation of tail probabilities involving heavy tailed random variables is amongst the most challenging problems in Monte-Carlo simulation. In the last few years, appli...
ICC
2007
IEEE
13 years 11 months ago
2007
IEEE
—Finding the distribution of the sum of lognormal We assume in this paper that the terms Yi are independent. The random variables is an important mathematical problem in probabil...
WSC
2008
13 years 7 months ago
2008
We are interested in computing tail probabilities for the maxima of Gaussian random fields. In this paper, we discuss two special cases: random fields defined over a finite number...
WSC
2000
13 years 6 months ago
2000
This paper deals with estimating small tail probabilities of the steady-state waiting time in a GI/GI/1 queue with heavy-tailed (subexponential) service times. The problem of esti...