ERMINE: Gestion et mesures des opérations et de l'économie des réseaux

Efficiency of Estimating Smooth Functions of Parameters in Rare-Event Contexts

Consider an estimand that is a known smooth function of an unknown vector of parameters, such as means, probabilities, quantiles, etc. Some but not necessarily all of the parameters relate to rare events, which typically make them difficult to estimate with naive Monte Carlo, so...