Year: 2012
Type: conference-paper
Abstract: For estimating P(Sn> x) by simulation where Sk= Y1+...+Ykwith Y1, ..., Ynare non-negative and heavy-tailed with distribution F, (Asmussen and Kroese 2006) suggested the estimator nF(Mn-1V(x - Sn-1)) where Mk= max(Y1, ..., Yk). The estimator has shown to perform excellently in practice and has also nice theoretical properties. In particular, (Hartinger and Kortschak 2009) showed that the relative error goes to 0 as × → ∞. We identify here the exact rate of decay and propose some related estimators with even faster rates.
Source: Winter Simulation Conference
Authors: Soren Asmussen, Dominik Kortschak
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: gold
OpenAlex ID: W4237969083