Uniformly efficient simulation for extremes of Gaussian random fields

Xiaoou Li, Gongjun Xu

Research output: Contribution to journalArticlepeer-review

2 Scopus citations
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Abstract

In this paper we consider the problem of simultaneously estimating rare-event probabilities for a class of Gaussian random fields. A conventional rare-event simulation method is usually tailored to a specific rare event and consequently would lose estimation efficiency for different events of interest, which often results in additional computational cost in such simultaneous estimation problems. To overcome this issue, we propose a uniformly efficient estimator for a general family of Hölder continuous Gaussian random fields. We establish the asymptotic and uniform efficiency of the proposed method and also conduct simulation studies to illustrate its effectiveness.

Original languageEnglish (US)
Pages (from-to)157-178
Number of pages22
JournalJournal of Applied Probability
Volume55
Issue number1
DOIs
StatePublished - Mar 1 2018

Keywords

  • math.PR

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