Presented by: 
Zdravko Botev, UNSW
Date: 
Wed 13 Feb, 11:45 am - 12:30 pm
Venue: 
67-442

Title: 'Empirical Likelihood Estimation for Rare-Event Probabilities'

Abstract: In this talk we describe an empirical maximum likelihood approach to estimating probabilities based on simulated data. We show that the estimator of the probability of interest is a part of the solution of a set of nonlinear estimating equations, which in general have to be solved numerically. These estimating equations have a simple closed form solution in the case of the splitting estimator for rare-event probability estimation. We give a numerical example illustrating the method.

http://www.curtin.edu.my/staff/staff_info.asp?rid=732

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