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13-127/III - Semiparametric Cross Entropy for Rare-Event Simulation


  • Authors
    Zdravko Botev, The University of New South Wales, Sydney, Australia; Ad Ridder, VU University Amsterdam; Leonardo Rojas-Nandayapa, The University of Queensland
  • Publication date
    September 2, 2013
  • Keywords
    Light-Tailed; Regularly-Varying; Subexponential; Rare-Event Probability; Cross Entropy method, Markov Chain Monte Carlo
  • JEL
    C61, C63