Rached, NB, Kammoun, A, Alouini, M-S et al. (1 more author) (2015) An Improved Hazard Rate Twisting Approach for the Statistic of the Sum of Subexponential Variates. IEEE Communications Letters, 19 (1). pp. 14-17. ISSN 1089-7798
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2014 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. |
Keywords: | asymptotic optimality; Hazard rate twisting; minmax approach; subexponential; twisting parameter; variance reduction |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 25 Oct 2023 15:10 |
Last Modified: | 25 Oct 2023 15:10 |
Published Version: | http://dx.doi.org/10.1109/lcomm.2014.2368562 |
Status: | Published |
Publisher: | IEEE |
Identification Number: | 10.1109/lcomm.2014.2368562 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:195482 |