An improved hazard rate twisting approach for the statistic of the sum of subexponential variates

Handle URI:
http://hdl.handle.net/10754/563992
Title:
An improved hazard rate twisting approach for the statistic of the sum of subexponential variates
Authors:
Rached, Nadhir B.; Kammoun, Abla ( 0000-0002-0195-3159 ) ; Alouini, Mohamed-Slim ( 0000-0003-4827-1793 ) ; Tempone, Raul ( 0000-0003-1967-4446 )
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.
KAUST Department:
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division; Electrical Engineering Program; Applied Mathematics and Computational Science Program; Communication Theory Lab; Stochastic Numerics Research Group
Publisher:
Institute of Electrical and Electronics Engineers (IEEE)
Journal:
IEEE Communications Letters
Issue Date:
Jan-2015
DOI:
10.1109/LCOMM.2014.2368562
ARXIV:
arXiv:1411.4281
Type:
Article
ISSN:
10897798
Additional Links:
http://arxiv.org/abs/arXiv:1411.4281v2
Appears in Collections:
Articles; Applied Mathematics and Computational Science Program; Electrical Engineering Program; Communication Theory Lab; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

Full metadata record

DC FieldValue Language
dc.contributor.authorRached, Nadhir B.en
dc.contributor.authorKammoun, Ablaen
dc.contributor.authorAlouini, Mohamed-Slimen
dc.contributor.authorTempone, Raulen
dc.date.accessioned2015-08-03T12:22:13Zen
dc.date.available2015-08-03T12:22:13Zen
dc.date.issued2015-01en
dc.identifier.issn10897798en
dc.identifier.doi10.1109/LCOMM.2014.2368562en
dc.identifier.urihttp://hdl.handle.net/10754/563992en
dc.description.abstractIn 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.en
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE)en
dc.relation.urlhttp://arxiv.org/abs/arXiv:1411.4281v2en
dc.subjectAsymptotic optimalityen
dc.subjectHazard rate twistingen
dc.subjectMinmax approachen
dc.subjectSubexponentialen
dc.subjectTwisting parameteren
dc.subjectVariance reductionen
dc.titleAn improved hazard rate twisting approach for the statistic of the sum of subexponential variatesen
dc.typeArticleen
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Divisionen
dc.contributor.departmentElectrical Engineering Programen
dc.contributor.departmentApplied Mathematics and Computational Science Programen
dc.contributor.departmentCommunication Theory Laben
dc.contributor.departmentStochastic Numerics Research Groupen
dc.identifier.journalIEEE Communications Lettersen
dc.identifier.arxividarXiv:1411.4281en
kaust.authorRached, Nadhir B.en
kaust.authorKammoun, Ablaen
kaust.authorAlouini, Mohamed-Slimen
kaust.authorTempone, Raulen
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