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Register a new userSemiparametric Cross Entropy for rare-event simulation
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Added by
Zdravko Botev
Publication date
2013
fields
Mathematical Statistics
and research's language is
English
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The Cross Entropy method is a well-known adaptive importance sampling method for rare-event probability estimation, which requires estimating an optimal importance sampling density within a parametric class. In this article we estimate an optimal importance sampling density within a wider semiparametric class of distributions. We show that this semiparametric version of the Cross Entropy method frequently yields efficient estimators. We illustrate the excellent practical performance of the method with numerical experiments and show that for the problems we consider it typically outperforms alternative schemes by orders of magnitude.
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