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Using the Importance Sampling Identity to Bound Tail Probabilities
Published online by Cambridge University Press: 27 July 2009
Abstract
We show how the importance sampling identity can often be used to efficiently bound tail probabilities, illustrating with the normal, Poisson, and gamma random variables.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 12 , Issue 4 , October 1998 , pp. 445 - 452
- Copyright
- Copyright © Cambridge University Press 1998
References
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