HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY

By Søren Asmussen, Dirk P. Kroese, Reuven Y. Rubinstein. 2005

55 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Numerical Analysis, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/52352ce959d95070b7050ab00624802b7b829533

How researchers see this paper

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

In Management Science and Operations Research

1. Reuven Y. Rubinstein
2. Shie Mannor
3. Dirk P. Kroese
4. Peter W. Glynn
5. Shimon Whiteson
6. Jimmy Ba
7. Tingwu Wang
8. Dimitri P. Bertsekas

In Numerical Analysis

1. Peter W. Glynn
2. Shie Mannor
3. Joshua C. C. Chan
4. Christiane Lemieux

In Statistics and Probability

1. Shie Mannor
2. Peter W. Glynn
3. Dirk P. Kroese
4. P. Boer
5. Reuven Y. Rubinstein
6. Mengdi Wang
7. Huan Xu
8. Joshua C. C. Chan

Citations in the corpus

• A Tutorial on the Cross-Entropy Method (2005, background): “1 holds true without much alteration and can be readily applied to estimation problems involving both light and heavy tail distributions, (de Boer et al., 2004; Rubinstein and Kroese, 2004; Asmussen et al., 2004).”
• The cross-entropy method for estimation (2013, background): “References on estimation include Asmussen et al. (2005), de Boer (2000), de Boer et al. (2004), Chan and Kroese (2010, 2012), Chan et al. (2011), Hui et al. (2005), Homem-de-Mello (2007), Kroese and Hui (2006), Kroese and Rubinstein (2004), Rao (2010), and Ridder (2005).”