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math.PR2017
Uniformly Efficient Simulation for Extremes of Gaussian Random Fields
Xiaoou Li, Gongjun Xu
This paper considers the problem of simultaneously estimating rare-event probabilities for a class of Gaussian random fields. A conventional rare-event simulation method is usually…
math.PR2014★ 1 cited
Rare-event Analysis for Extremal Eigenvalues of white Wishart matrices
Tiefeng Jiang, Kevin Leder, Gongjun Xu
In this paper we consider the extreme behavior of the extremal eigenvalues of white Wishart matrices, which plays an important role in multivariate analysis. In particular, we focu…
math.PR2012★ 20 cited
On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
Jingchen Liu, Gongjun Xu
In this paper, we consider the extreme behavior of a Gaussian random field living on a compact set . In particular, we are interested in tail events associated with the i…