Karthyek Murthy

most citedExact and efficient simulation of tail probabilities of heavy-tailed infinite series

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math.PR2016★ 1 cited

Exact and efficient simulation of tail probabilities of heavy-tailed infinite series

Henrik Hult, Sandeep Juneja, Karthyek Murthy

We develop an efficient simulation algorithm for computing the tail probabilities of the infinite series $S = \sum_{n \geq 1} a_{n} X_{n}$ when random variables $X_{n}$ are heavy-tailed.…