13 citations · 14 across the 10 of their papers we have counts for
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math.PR2016
Efficient simulation for dependent rare events with applications to extremes
Lars Nørvang Andersen, Patrick J. Laub, Leonardo Rojas-Nandayapa
We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and descr…
math.PR2016
Orthonormal polynomial expansions and lognormal sum densities
Søren Asmussen, Pierre-Olivier Goffard, Patrick J. Laub
Approximations for an unknown density in terms of a reference density and its associated orthonormal polynomials are discussed. The main application is the approximation…