Multidimensional rare event probability estimation algorithm
<p>This work contains Monte–Carlo Markov Chain algorithm for estimation of multi-dimensional rare events frequencies. Logits of rare event likelihood we are modeling with Poisson distribution, which parameters are distributed by multivariate normal law with unknown parameters – mean vector and...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Klaipėda University
2013-09-01
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| Series: | Computational Science and Techniques |
| Online Access: | http://journals.ku.lt/index.php/CST/article/view/93 |