Central Limit Theorem for Adaptative Multilevel Splitting Estimators in an Idealized Setting - Archive ouverte HAL
Article Dans Une Revue Springer Proceedings in Mathematics & Statistics Année : 2016

Central Limit Theorem for Adaptative Multilevel Splitting Estimators in an Idealized Setting

Résumé

The Adaptive Multilevel Splitting algorithm is a very powerful and versatile iterative method to estimate the probability of rare events, based on an interacting particle systems. In an other article, in a so-called idealized setting, the authors prove that some associated estimators are unbiased, for each value of the size n of the systems of replicas and of resampling number k. Here we go beyond and prove these estimator's asymptotic normality when h goes to infinity, for any fixed value of k. The main ingredient is the asymptotic analysis of a functional equation on an appropriate characteristic function. Some numerical simulations illustrate the convergence to rely on Gaussian confidence intervals.
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Dates et versions

hal-01074155 , version 1 (13-10-2014)

Identifiants

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Charles-Edouard Bréhier, Ludovic Goudenège, Loic Tudela. Central Limit Theorem for Adaptative Multilevel Splitting Estimators in an Idealized Setting. Springer Proceedings in Mathematics & Statistics, 2016, Monte Carlo and Quasi-Monte Carlo Methods: MCQMC, Leuven, Belgium, April 2014, 163, pp.245--260. ⟨10.1007/978-3-319-33507-0_10⟩. ⟨hal-01074155⟩
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