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math.PR2009★ 24 cited
Efficient importance sampling for binary contingency tables
Jose H. Blanchet
Importance sampling has been reported to produce algorithms with excellent empirical performance in counting problems. However, the theoretical support for its efficiency in these…
math.PR2008★ 114 cited
Efficient rare-event simulation for the maximum of heavy-tailed random walks
Jose Blanchet, Peter Glynn
Let be a sequence of i.i.d. r.v.'s with negative mean. Set and define . We propose an importance sampling algorithm to estimate the tail o…