Accession Number:

ADA101097

Title:

Importance Sampling for Estimation of Small Probabilities.

Descriptive Note:

Technical rept.,

Corporate Author:

NAVAL UNDERWATER SYSTEMS CENTER NEW LONDON CT NEW LONDON LAB

Personal Author(s):

Report Date:

1981-03-23

Pagination or Media Count:

47.0

Abstract:

The use of importance sampling for estimation of small probabilities is illustrated by means of a signal-detection example. In particular, false alarm probabilities in the ten to the minus 7th power range are accurately estimated by means of only 1000 independent trials. The fundamental variance-reducing capability of importance sampling is explored and used to significantly improve the performance of the probability estimate for the detection example considered. Guidelines for choosing good data-generation algorithms are presented. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE