13 citations · 13 across the 2 of their papers we have counts for
7 papers
Exact simulation of extrinsic stress-release processes
Young Lee, Patrick J. Laub, Thomas Taimre +2
We present a new and straightforward algorithm that simulates exact sample paths for a generalized stress-release process. The computation of the exact law of the joint interarriva…
The Value of Information and Efficient Switching in Channel Selection
Jiesen Wang, Yoni Nazarathy, Thomas Taimre
We consider a collection of statistically identical two-state continuous time Markov chains (channels). A controller continuously selects a channel with the view of maximizing infi…
Rare Events in Random Geometric Graphs
Christian Hirsch, Sarat B. Moka, Thomas Taimre +1
This work introduces and compares approaches for estimating rare-event probabilities related to the number of edges in the random geometric graph on a Poisson point process. In the…
Rare tail approximation using asymptotics and polar coordinates
Thomas Taimre, Patrick J. Laub
In this work, we propose a class of importance sampling (IS) estimators for estimating the right tail probability of a sum of continuous random variables based on a change of varia…
Tail asymptotics of light-tailed Weibull-like sums
Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub +1
We consider sums of i.i.d. random variables with tails close to for some . Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg & Resnick (1993)…
Hawkes Processes
Patrick J. Laub, Thomas Taimre, Philip K. Pollett
Hawkes processes are a particularly interesting class of stochastic process that have been applied in diverse areas, from earthquake modelling to financial analysis. They are point…