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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 2, Pages 319–332
DOI: https://doi.org/10.4213/tvp56 (Mi tvp56) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Importance sampling for simulation of large and moderate deviation probabilities of tests and estimators

M. S. Ermakov

Institute of Problems of Mechanical Engineering, Russian Academy of Sciences
Full-text PDF (1323 kB) Citations (3)
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DOI: https://doi.org/10.4213/tvp56
Abstract: Using the machinery of large and moderate deviations theory of empirical probability measures, we study effective importance sampling for simulation of large and moderate deviation probabilities of tests and estimators. The computational burden of efficient importance sampling does not have the exponential growth as in the straightforward simulation. The results are implemented in a simulation of moderate deviation probabilities of tests of omega-squared type.
Keywords: importance sampling, large deviations, moderate deviations, empirical measure.
Received: 19.04.2004
Revised: 24.10.2005
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 2, Pages 279–290
DOI: https://doi.org/10.1137/S0040585X97982323
Bibliographic databases:
Language: Russian
Citation: M. S. Ermakov, “Importance sampling for simulation of large and moderate deviation probabilities of tests and estimators”, Teor. Veroyatnost. i Primenen., 51:2 (2006), 319–332; Theory Probab. Appl., 51:2 (2007), 279–290
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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