Importance sampling for sums of random variables with regularly varying tails

@article{Dupuis2007ImportanceSF,
  title={Importance sampling for sums of random variables with regularly varying tails},
  author={Paul Dupuis and Kevin Leder and Hui Wang},
  journal={ACM Trans. Model. Comput. Simul.},
  year={2007},
  volume={17},
  pages={14}
}
Importance sampling is a variance reduction technique for efficient estimation of rare-event probabilities by Monte Carlo. For random variables with heavy tails there is little consensus on how to choose the change of measure used in importance sampling. In this article we study dynamic importance sampling schemes for sums of independent and identically distributed random variables with regularly varying tails. The number of summands can be random but must be independent of the summands. For… CONTINUE READING
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