Importance sampling for large and moderate large deviation simulation of tests and estimators
- Ermakov, Michael
2010 Mathematics Subject Classification
- 62E25 60F10 65C05
- Importance sampling, Large deviations, Empirical measure, Hadamard-type derivative, Statistical simulation
We find the effective importance sampling procedures for the simulation of large and moderate large deviations of tests and estimators. The computational burden of these effective procedures has no exponential rate as in the direct simulation. The results are applied to the simulation of large and moderate large deviations of L,M,R-statistics and omega-square tests.