State-dependent importance sampling for regularly varying random walks

By Jose H. Blanchet, Jingcheng Liu. Advances in Applied Probability, 2008

65 citations recorded by the source corpus.

Subfields: Demography, Management Information Systems, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/36f96e3a3ed2bb7f643115a219ebc043b9aa1dcb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Persi Diaconis
2. Sourav Chatterjee

In Management Information Systems

1. Persi Diaconis
2. Sourav Chatterjee

In Management Science and Operations Research

1. Persi Diaconis
2. Sourav Chatterjee
3. Martin J. Wainwright

Citations in the corpus

• The sample size required in importance sampling (2015, methodology): “A relatively recent technique choosing the proposal distribution, which has been particularly successful in the heavy-tailed setting, is a method based on Lyapunov functions developed by Blanchet and Liu [9, 10], Blanchet and Glynn [7] and Blanchet, Glynn and Leder [8].”