enter search term and/or author name
Fast generation of order statistics
Wolfgang Hörmann, Gerhard Derflinger
Generating a single order statistic without generating the full sample can be an important task for simulations. If the density and the CDF of the distribution are given, then it is no problem to compute the density of the order statistic. In the...
Simulating heavy tailed processes using delayed hazard rate twisting
Sandeep Juneja, Perwez Shahabuddin
Consider the problem of estimating the small probability that the maximum of a random walk exceeds a large threshold, when the process has a negative drift and the underlying random variables may have heavy tailed distributions, that is, their tail...
Efficient simulation of a tandem Jackson network
Dirk P. Kroese, Victor F. Nicola
The two-node tandem Jackson network serves as a convenient reference model for the analysis and testing of different methodologies and techniques in rare event simulation. In this paper we consider a new approach to efficiently estimate the...