http://www.cnr.it/ontology/cnr/individuo/prodotto/ID42004
Optimal importance sampling for some quadratic forms of ARMA processes (Articolo in rivista)
- Type
- Label
- Optimal importance sampling for some quadratic forms of ARMA processes (Articolo in rivista) (literal)
- Anno
- 1995-01-01T00:00:00+01:00 (literal)
- Alternative label
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
- Barone Piero, Gigli Anna, Piccioni Mauro (literal)
- Pagina inizio
- Pagina fine
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
- Rivista
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#note
- ISSN: 0018-9448
Digital Object Identifier: 10.1109/18.476309
(literal)
- Note
- ISI Web of Science (WOS) (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
- Gigli Anna : IRPPS-CNR
Barone Piero, Piccioni Mauro : IAC-CNR (literal)
- Titolo
- Optimal importance sampling for some quadratic forms of ARMA processes (literal)
- Abstract
- The determination of the asymptotically efficient importance sampling distribution for evaluating the tail probability P(Ln>u) for large n by Monte Carlo simulations, is considered. It is assumed that Ln is the likelihood ratio statistic for the optimal detection of signal with spectral density s from noise with spectral density c, Ln=(2n)-1Xnt{Tn (c)-1ITn(c+s)-1 }Xn, c and s being both modeled as invertible Gaussian ARMA processes, and Xn being a vector of n consecutive samples from the noise process. By using large deviation techniques, a sufficient condition for the existence of an asymptotically efficient importance sampling ARMA process, whose coefficients are explicitly computed, is given. Moreover, it is proved that such an optimal process is unique (literal)
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- Autore CNR
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