{
  "id": "1609.09725",
  "version": "v1",
  "published": "2016-09-30T13:37:47.000Z",
  "updated": "2016-09-30T13:37:47.000Z",
  "title": "Efficient simulation for dependent rare events with applications to extremes",
  "authors": [
    "Lars Nørvang Andersen",
    "Patrick J. Laub",
    "Leonardo Rojas-Nandayapa"
  ],
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-09-30T13:37:47.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "65C05",
      "65C60",
      "68U20"
    ],
    "keywords": [
      "dependent rare events",
      "efficient simulation",
      "applications",
      "estimators",
      "variance reduction schemes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}