Uniformly efficient simulation for tail probabilities of gaussian random fields
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Gongjun XuAuthors Info & Claims
Gongjun XuAuthors Info & ClaimsAbstract
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.
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Published: 07 December 2014
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