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Recommendations for the tuning of rare event probability estimators
16 references·0 citing·41 second hop
Recommendations for the tuning of rare event probability estimators (2014)Recommendations for the tuning of rare ev…Generalized Cross-entropy Methods with Applications to Rare-event Simulation and Optimization (2007)Generalized Cross-entropy Met…Splitting for Rare-Event Simulation (2006)Splitting for Rare-Event Simu…Splitting for rare-event simulation (2006)Splitting for rare-event simu…An Application of Extreme Value Theory for Measuring Financial Risk (2006)An Application of Extreme Val…RARE EVENT SIMULATION (2005)RARE EVENT SIMULATIONThe Design and Analysis of Computer Experiments (2003)The Design and Analysis of Co…An Application of Extreme Value Theory for Measuring Risk (2003)An Application of Extreme Val…Estimation of small failure probabilities in high dimensions by subset simulation (2001)Estimation of small failure p…A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)A Comparison of Three Methods…The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions (1997)The Peaks over Thresholds Met…Optimization of computer simulation models with rare events (1997)Optimization of computer simu…Computer experiments and global optimization (1997)Computer experiments and glob…Splitting for rare event simulation (1996)Splitting for rare event simu…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…Design and Analysis of Computer Experiments (1989)Design and Analysis of Comput…Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (1979)Comparison of Three Methods f…Extreme Values, Regular Variation and Point Processes (1987)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)Residual Life Time at Great Age (1974)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)Modelling of extremal events in insurance and finance (1994)Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database (2003)Capital and Risk: New Evidence on Implications of Large Operational Losses (2005)Price risk in the NYMEX energy complex: An extreme value approach (2005)Applied Probability and Queues (1987)A quick simulation method for excessive backlogs in networks of queues (1989)Acceleration of Stochastic Approximation by Averaging (1992)Proceedings of the 2002 Winter Simulation Conference (2002)Simulation optimization: A comprehensive review on theory and applications (2004)Proceedings of the 2017 Winter Simulation Conference (2017)Simulation and the Monte Carlo Method (1981)The stochastic finite element method: Past, present and future (2008)A combined Importance Sampling and Kriging reliability method for small failure probabilities with time-demanding numerical models (2012)The generalization of Latin hypercube sampling (2015)Simulation and the Monte Carlo Method (2016)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Kriging-based adaptive Importance Sampling algorithms for rare event estimation (2013)Insurability of Cyber Risk: An Empirical Analysis (2014)Tail risk and systemic risk of finance and technology (FinTech) firms (2021)Convergence properties of the expected improvement algorithm with fixed mean and covariance functions (2010)Non-probabilistic finite element analysis for parametric uncertainty treatment in applied mechanics: Recent advances (2010)A Nested Extreme Response Surface Approach for Time-Dependent Reliability-Based Design Optimization (2012)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index (2009)Taking the Human Out of the Loop: A Review of Bayesian Optimization (2015)A review of techniques for parameter sensitivity analysis of environmental models (1994)Importance measures in global sensitivity analysis of nonlinear models (1996)A distribution-free approach to inducing rank correlation among input variables (1982)Factorial Sampling Plans for Preliminary Computational Experiments (1991)Uniform Design: Theory and Application (2000)An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach (2011)A Review on Global Sensitivity Analysis Methods (2015)Sensitivity analysis: A review of recent advances (2015)
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References

  • 2000A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code8,233 cited
  • 1989Design and Analysis of Computer Experiments6,958 cited
  • 1979Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code3,238 cited
  • 2001Estimation of small failure probabilities in high dimensions by subset simulation2,419 cited
  • 2003The Design and Analysis of Computer Experiments2,204 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 1997Optimization of computer simulation models with rare events682 cited
  • 2006An Application of Extreme Value Theory for Measuring Financial Risk425 cited
  • 1997Computer experiments and global optimization375 cited
  • 1997The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions95 cited
  • 2005RARE EVENT SIMULATION90 cited
  • 1996Splitting for rare event simulation77 cited
  • 2006Splitting for Rare-Event Simulation61 cited
  • 2006Splitting for rare-event simulation55 cited
  • 2003An Application of Extreme Value Theory for Measuring Risk52 cited

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  • 2007Generalized Cross-entropy Methods with Applications to Rare-event Simulation and Optimization48 cited
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