4 citations · 7 across the 4 of their papers we have counts for
5 papers
Importance Sampling for multi-constraints rare event probability
Virgile Caron
Improving Importance Sampling estimators for rare event probabilities requires sharp approx- imations of the optimal density leading to a nearly zero-variance estimator. This paper…
Conditional inference in parametric models
Michel Broniatowski, Virgile Caron
This paper presents a new approach to conditional inference, based on the simulation of samples conditioned by a statistics of the data. Also an explicit expression for the approxi…
Long runs under a conditional limit distribution
Michel Broniatowski, Virgile Caron
This paper presents a sharp approximation of the density of long runs of a random walk conditioned on its end value or by an average of a function of its summands as their number t…
Towards zero variance estimators for rare event probabilities
Michel Broniatowski, Virgile Caron
Improving Importance Sampling estimators for rare event probabilities requires sharp approximations of conditional densities. This is achieved for events E_{n}:=(f(X_{1})+...+f(X_{…
Long runs under point conditioning. The real case
Michel Broniatowski, Virgile Caron
This paper presents a sharp approximation of the density of long runs of a random walk conditioned on its end value or by an average of a functions of its summands as their number…