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- Efficient simulation for dependent rare events with applications to extremes
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- Home
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Postgraduate research
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- Michael Tallis PhD Research Travel Award
- Information about research theses
- Past research students
- Resources
- Entry requirements
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Student services
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- Statistics Consultation Service
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Abstract:
We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in a numerical example. https://arxiv.org/abs/1609.09725
Speaker
Patrick Laub
Research Area
Statistics Seminar
Affiliation
The University of Queensland
Date
Fri, 19/05/2017 - 4:00pm
Venue
RC-M032, Red Centre, UNSW