Accession Number:

ADA232412

Title:

Importance Sampling for Tail Probabilities

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1991-02-06

Pagination or Media Count:

17.0

Abstract:

Our interest is in the accurate and efficient evaluation of very small probabilities. Thus, we seek methods with bounded coefficient of variation as the probability decreases and we assess their performance. The univariate case is explored for a heuristic for construction of sampling density families. The multivariate case provides interesting connections with Mills ratio.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE