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arXiv · 1312.3027

Rare-event Probability Estimation via Empirical Likelihood Maximization

A. Huang·Z. I. Botev
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Abstract

We explore past and recent developments in rare-event probability estimation with a particular focus on a novel Monte Carlo technique Empirical Likelihood Maximization (ELM). This is a versatile method that involves sampling from a sequence of densities using MCMC and maximizing an empirical likelihood. The quantity of interest, the probability of a given rare-event, is estimated by solving a convex optimization program related to likelihood maximization. Numerical experiments are performed using this new technique and benchmarks are given against existing robust algorithms and estimators.

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A. Huang, Z. I. Botev. 2013-12-11. Rare-event Probability Estimation via Empirical Likelihood Maximization. https://arxiv.org/abs/1312.3027

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