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