2017/08/29 by Xiaoou Li, Gongjun Xu, Li, Xiaoou +1
Decision Sciences · Economics, Econometrics and Finance · Environmental Science · Mathematics · #Analysis of environmental and stochastic processes #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #math.PR
paper · pdf · doi:10.48550/arxiv.1708.09030
arxiv created 2017/08/29 · openalex publication_date 2017/08/29 · arxiv updated 2017/08/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper considers the problem of simultaneously estimating rare-event probabilities for a class of Gaussian random fields. A conventional rare-event simulation method is usually tailored to a specific rare event and consequently would lose estimation efficiency for different events of interest, which often results in additional computational cost in such simultaneous estimation problem. To overcome this issue, we propose a uniformly efficient estimator for a general family of Hölder continuous Gaussian random fields. We establish the asymptotic and uniform efficiency of the proposed method and also conduct simulation studies to illustrate its effectiveness.