most citedMaxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices

47 citations · 122 across the 4 of their papers we have counts for

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math.PR2007★ 13 cited

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…

math.PR2004★ 47 cited

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.…

math.PR2004★ 46 cited

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…