论文信息 - IMPORTANCE SAMPLING FOR MONTE CARLO ESTIMATION OF QUANTILES

IMPORTANCE SAMPLING FOR MONTE CARLO ESTIMATION OF QUANTILES

This paper is concerned with applying importance sampling as a variance reduction tool for computing extreme quantiles. A central limit theorem is derived for each of four proposed importance sampling quantile estimators. Efficiency comparisons are provided in a certain asymptotic setting, using ideas from large deviation theory.

P. Glynn

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