Estimating Tail Probabilities of Random Sums of Phase-Type Scale Mixture Random Variables

Estimating Tail Probabilities of Random Sums of Phase-Type Scale Mixture Random Variables

We consider the problem of estimating tail probabilities of random sums of scale mixture of phase-type distributions—a class of distributions corresponding to random variables which can be represented as a product of a non-negative but otherwise arbitrary random variable with a phase-type random var...

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Bibliographic Details
Main Authors: Hui Yao, Thomas Taimre
Format: Article
Language:English
Published: MDPI AG 2022-09-01
Series:Algorithms
Subjects:
subexponential distribution
phase-type distribution
rare event simulation
conditional Monte Carlo
importance sampling
Online Access:https://www.mdpi.com/1999-4893/15/10/350

Internet

https://www.mdpi.com/1999-4893/15/10/350

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