• DocumentCode
    239072
  • Title

    Uniformly efficient simulation for tail probabilities of Gaussian random fields

  • Author

    Gongjun Xu

  • Author_Institution
    Sch. of Stat., Univ. of Minnesota, Minneapolis, MN, USA
  • fYear
    2014
  • fDate
    7-10 Dec. 2014
  • Firstpage
    533
  • Lastpage
    542
  • Abstract
    In this paper, we consider rare-event simulation of the tail probabilities of Gaussian random fields. In particular, we design importance sampling estimators that are uniformly efficient for a family of Gaussian random fields with different mean and variance functions.
  • Keywords
    Gaussian processes; probability; simulation; Gaussian random fields; importance sampling estimators; mean functions; rare-event simulation; tail probabilities; uniformly efficient simulation; variance functions; Approximation methods; Computational modeling; Monte Carlo methods; Numerical models; Q measurement; Random variables;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Simulation Conference (WSC), 2014 Winter
  • Conference_Location
    Savanah, GA
  • Print_ISBN
    978-1-4799-7484-9
  • Type

    conf

  • DOI
    10.1109/WSC.2014.7019918
  • Filename
    7019918
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=239072