Efficient Simulation of Tail Probabilities of Gaussian Random Fields (with R. Adler and J. C. Liu)

Summary:

This is the conference version of the paper [“Efficient Monte Carlo for High Excursions of Gaussian Random Fields’’]. It does everything for finite random fields (i.e. multivariate Gaussian random variables).

Bibtex:

@INPROCEEDINGS {AdlerBlanLiuConf10,

AUTHOR={R. Adler and J. Blanchet and J. C. Liu},

YEAR={2008},

TITLE={Efficient Simulation of Tail Probabilities of Gaussian Random Fields},

BOOKTITLE={Proceedings of the 2008 Winter Simulation Conference},

EDITOR={S. J. Mason, R. R. Hill, L. Moench and O. Rose},

PUBLISHER={IEEE Press},

PAGES={328-336}

}