Optimal importance sampling for some quadratic forms of ARMA processes

Abstract

The determination of the asymptotically efficient importance sampling distribution for evaluating the tail probability P(L , > U ) for large n by Monte Carlo simulations, is considered. It i s assumed that L, is the likelihood ratio statistic for the optimal detection of signal with spectral density i from noise with spectral density 2 t and i being both… (More)
DOI: 10.1109/18.476309

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Cite this paper

@article{Barone1995OptimalIS, title={Optimal importance sampling for some quadratic forms of ARMA processes}, author={P. Barone and A. Gigli and M. Piccioni}, journal={IEEE Trans. Information Theory}, year={1995}, volume={41}, pages={1834-1844} }