Jose Blanchet, Henrik Hult, and Kevin Leder, 2013. Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations. ACM Trans. Embedd. Comput. Syst. 9, 4, Article 39 (March 2010), 7 pages. DOI:http://dx.doi.org/10.1145/0000000.0000000
Abstract
One shortcoming of utilizing the conditional mixture algorithm is the necessity to sample from the conditional distribution. A natural way to get around that is to utilize a scaling based approach introduced in [Hult and Svensson 2012]. When simulating Bj+ 1 given that Xj= x the following sampling density is used, where a∈(0, 1), gS Bj+ 1 (y| x)
Authors
JOSE BLANCHET, HENRIK HULT, KEVIN LEDER
