Efficient Importance Sampling for Large Sums of Independent and Identically Distributed Random Variables

by N. Ben Rached, A.-L Haji-Ali, G. Rubino, R. Tempone
Year: 2021

Bibliography

N. Ben Rached, A.-L Haji-Ali,  G. Rubino, and R. Tempone. "Efficient Importance Sampling for Large Sums of Independent and Identically Distributed Random Variables", arXiv preprint  arXiv:2101.09514​​, 2021​​​

Keywords

Importance sampling rare event exponential twisting Gamma IS PDF