most citedEfficient Importance Sampling for Rare Event Simulation with Applications

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stat.ME2013★ 2 cited

Efficient Importance Sampling for Rare Event Simulation with Applications

Cheng-Der Fuh, Huei-Wen Teng, Ren-Her Wang

Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance o…