Sequential Monte Carlo for rare event estimation
CÉROU, Frédéric
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
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Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
CÉROU, Frédéric
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
GUYADER, Arnaud
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
< Leer menos
Applications of interacting particle systems to statistics [ASPI]
Institut de Recherche Mathématique de Rennes [IRMAR]
Idioma
en
Article de revue
Este ítem está publicado en
Statistics and Computing. 2012, vol. 22, n° 3, p. 795-908
Springer Verlag (Germany)
Resumen en inglés
This paper discusses a novel strategy for simulating rare events and an associated Monte Carlo estimation of tail probabilities. Our method uses a system of interacting particles and exploits a Feynman-Kac representation ...Leer más >
This paper discusses a novel strategy for simulating rare events and an associated Monte Carlo estimation of tail probabilities. Our method uses a system of interacting particles and exploits a Feynman-Kac representation of that system to analyze their fluctuations. Our precise analysis of the variance of a standard multilevel splitting algorithm reveals an opportunity for improvement. This leads to a novel method that relies on adaptive levels and produces, in the limit of an idealized version of the algorithm, estimates with optimal variance. The motivation for this theoretical work comes from problems occurring in watermarking and fin- gerprinting of digital contents, which represents a new field of applications of rare event simulation techniques. Some numerical results show performance close to the idealized version of our technique for these practical applications.< Leer menos
Palabras clave en inglés
Rare event
Sequential importance sampling
Feynman-Kac formula
Metropolis-Hastings
Fingerprinting
Watermarking
Proyecto ANR
Sécurité et fiabilité des techniques de tatouages - ANR-06-SETI-0009
Orígen
Importado de HalCentros de investigación