Simulating heavy tailed processes using delayed hazard rate twisting.
Resource URI: https://dblp.l3s.de/d2r/resource/publications/journals/tomacs/JunejaS02
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2002
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Simulating heavy tailed processes using delayed hazard rate twisting.
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94-118
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dc:
subject
Hazard rate twisting, heavy tailed distributions, importance sampling, rare events, subexponential twisting, variance reduction
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title
Simulating heavy tailed processes using delayed hazard rate twisting.
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