Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
We consider the problem of efficient simulation estimation of the density function at the tails, and the probability of large deviations for a sum of independent, identically distributed (i.i.d.), light-tailed, and nonlattice random vectors. The latter problem besides being of independent interest, also forms a building block for more complex …