4.0 Article

Efficient Simulation for Dependent Rare Events with Applications to Extremes

Journal

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY
Volume 20, Issue 1, Pages 385-409

Publisher

SPRINGER
DOI: 10.1007/s11009-017-9557-4

Keywords

Rare-event probabilities; Bounded relative error; Extremal values; Copulas

Funding

  1. ARC [DE130100819]
  2. Australian Government Research Training Program Scholarship
  3. Australian Research Council Centre of Excellence for Mathematical & Statistical Frontiers Scholarship
  4. Australian Research Council [DE130100819] Funding Source: Australian Research Council

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We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed estimators. We derive efficiency results of the estimators in rare-event settings, in particular those associated with extremes. Finally, we examine the performance of our estimators in numerical examples.

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