NDLI: An Improved Hazard Rate Twisting Approach for the Statistic of the Sum of Subexponential Variates

Content Provider	IEEE Xplore Digital Library
Author	Ben Rached, N. Kammoun, A. Alouini, M.-S. Tempone, R.
Copyright Year	1997
Abstract	In this letter, we present an improved hazard rate twisting technique for the estimation of the probability that a sum of independent but not necessarily identically distributed subexponential Random Variables (RVs) exceeds a given threshold. Instead of twisting all the components in the summation, we propose to twist only the RVs which have the biggest impact on the right-tail of the sum distribution and keep the other RVs unchanged. A minmax approach is performed to determine the optimal twisting parameter which leads to an asymptotic optimality criterion. Moreover, we show through some selected simulation results that our proposed approach results in a variance reduction compared to the technique where all the components are twisted.
Starting Page	14
Ending Page	17
Page Count	4
File Size	512712
File Format	PDF
ISSN	10897798
Volume Number	19
Issue Number	1
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2015-01-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Hazards Computational modeling Shape Approximation methods Monte Carlo methods Estimation Interference variance reduction Hazard rate twisting subexponential minmax approach twisting parameter asymptotic optimality
Content Type	Text
Resource Type	Article
Subject	Electrical and Electronic Engineering Modeling and Simulation Computer Science Applications

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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