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Bounded Relative Error Importance Sampling and Rare Event Simulation

Published online by Cambridge University Press:  09 August 2013

Don L. McLeish*
Affiliation:
Department of Statistics and Actuarial Science, University of Waterloo, Canada

Abstract

We consider estimating tail events using exponential families of importance sampling distributions. When the cannonical sufficient statistic for the exponential family mimics the tail behaviour of the underlying cumulative distribution function, we can achieve bounded relative error for estimating tail probabilities. Examples of rare event simulation from various distributions including Tukey's g&h distribution are provided.

Type
Research Article
Copyright
Copyright © International Actuarial Association 2010

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