期刊
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY
卷 20, 期 1, 页码 385-409出版社
SPRINGER
DOI: 10.1007/s11009-017-9557-4
关键词
Rare-event probabilities; Bounded relative error; Extremal values; Copulas
资金
- ARC [DE130100819]
- Australian Government Research Training Program Scholarship
- Australian Research Council Centre of Excellence for Mathematical & Statistical Frontiers Scholarship
- Australian Research Council [DE130100819] Funding Source: Australian Research Council
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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