Efficient importance sampling for events of moderate deviations with applications
中等偏差事件的高效重要性抽样及其应用
We propose a method for finding the alternative distribution in importance sampling. The alternative distribution is optimal in the sense that the asymptotic variance is minimised for estimating tail probabilities of asymptotically normal statistics. Our contribution to importance sampling is three‐fold. To begin with, we obtain an explicit expression for the mean of the optimal alternative distribution and the expression motivates a recursive approximation algorithm.…