47 citations · 122 across the 4 of their papers we have counts for
4 papers
Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
Hock Peng Chan, Tze Leung Lai
Large deviation theory has provided important clues for the choice of importance sampling measures for Monte Carlo evaluation of exceedance probabilities. However, Glasserman and W…
Time Series and Related Topics. In Memory of Ching-Zong Wei
Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai
A major research area of Ching-Zong Wei (1949--2004) was time series models and their applications in econometrics and engineering, to which he made many important contributions. A…
Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
Hock Peng Chan, Tze Leung Lai
Several classical results on boundary crossing probabilities of Brownian motion and random walks are extended to asymptotically Gaussian random fields, which include sums of i.i.d.…
Self-normalized processes: exponential inequalities, moment bounds and iterated logarithm laws
Victor H. de la Pena, Michael J. Klass, Tze Leung Lai
Self-normalized processes arise naturally in statistical applications. Being unit free, they are not affected by scale changes. Moreover, self-normalization often eliminates or wea…