Importance Sampling for Estimation of Small Probabilities.
Abstract
The use of importance sampling for estimation of small probabilities is illustrated by means of a signal-detection example. In particular, false alarm probabilities in the ten to the minus 7th power range are accurately estimated by means of only 1000 independent trials. The fundamental variance-reducing capability of importance sampling is explored and used to significantly improve the performance of the probability estimate for the detection example considered. Guidelines for choosing good data-generation algorithms are presented. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 23, 1981
- Accession Number
- ADA101097
Entities
People
- Albert H. Nuttall
Organizations
- Naval Underwater Systems Center