USING THE IMPORTANCE SAMPLING IDENTITY TO BOUND TAIL PROBABILITIES

Authors
ROSS SM
Citation
Sm. Ross, USING THE IMPORTANCE SAMPLING IDENTITY TO BOUND TAIL PROBABILITIES, Probability in the engineering and informational sciences, 12(4), 1998, pp. 445-452
Citations number
5
Categorie Soggetti
Statistic & Probability","Operatione Research & Management Science","Engineering, Industrial","Statistic & Probability","Operatione Research & Management Science
Journal title
Probability in the engineering and informational sciences → ACNP
ISSN journal
02699648
Volume
12
Issue
4
Year of publication
1998
Pages
445 - 452
Database
ISI
SICI code
0269-9648(1998)12:4<445:UTISIT>2.0.ZU;2-2
Abstract
We show how the importance sampling identity can often be used to effi ciently bound tail probabilities, illustrating with the normal, Poisso n, and gamma random variables.