Geodesic
Importance sampling for simulation of large and moderate deviation probabilities of tests and estimators
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 2, pp. 319-332

Voir la notice de l'article provenant de la source Math-Net.Ru

Using the machinery of large and moderate deviations theory of empirical probability measures, we study effective importance sampling for simulation of large and moderate deviation probabilities of tests and estimators. The computational burden of efficient importance sampling does not have the exponential growth as in the straightforward simulation. The results are implemented in a simulation of moderate deviation probabilities of tests of omega-squared type.
Keywords: importance sampling, large deviations, moderate deviations, empirical measure. 
@article{TVP_2006_51_2_a3,
     author = {M. S. Ermakov},
     title = {Importance sampling for simulation of large and moderate deviation probabilities of tests and estimators},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {319--332},
     publisher = {mathdoc},
     volume = {51},
     number = {2},
     year = {2006},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2006_51_2_a3/}
}
TY  - JOUR
AU  - M. S. Ermakov
TI  - Importance sampling for simulation of large and moderate deviation probabilities of tests and estimators
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2006
SP  - 319
EP  - 332
VL  - 51
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2006_51_2_a3/
LA  - ru
ID  - TVP_2006_51_2_a3
ER  - 
%0 Journal Article
%A M. S. Ermakov
%T Importance sampling for simulation of large and moderate deviation probabilities of tests and estimators
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2006
%P 319-332
%V 51
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2006_51_2_a3/
%G ru
%F TVP_2006_51_2_a3
M. S. Ermakov. Importance sampling for simulation of large and moderate deviation probabilities of tests and estimators. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 2, pp. 319-332. http://geodesic.mathdoc.fr/item/TVP_2006_51_2_a3/