caa a22 4500 445842156 CHVBK 20180317145348.0 cr unu---uuuuu 170323e20111001xx s 000 0 eng 10.1007/s00245-011-9135-z doi (NATIONALLICENCE)springer-10.1007/s00245-011-9135-z Simulation and Estimation of Extreme Quantiles and Extreme Probabilities [Elektronische Daten] [Arnaud Guyader, Nicolas Hengartner, Eric Matzner-Løber] Let X be a random vector with distribution μ on ℝd and Φ be a mapping from ℝd to ℝ. That mapping acts as a black box, e.g., the result from some computer experiments for which no analytical expression is available. This paper presents an efficient algorithm to estimate a tail probability given a quantile or a quantile given a tail probability. The algorithm improves upon existing multilevel splitting methods and can be analyzed using Poisson process tools that lead to exact description of the distribution of the estimated probabilities and quantiles. The performance of the algorithm is demonstrated in a problem related to digital watermarking. Springer Science+Business Media, LLC, 2011 Monte Carlo simulation nationallicence Rare event nationallicence Metropolis-Hastings nationallicence Watermarking nationallicence Guyader Arnaud Université Rennes 2, 35043, Rennes Cedex, France aut Hengartner Nicolas Information Sciences Group, Los Alamos National Laboratory, 86545, Los Alamos, NM, USA aut Matzner-Løber Eric Université Rennes 2, 35043, Rennes Cedex, France aut Applied Mathematics & Optimization Springer-Verlag 64/2(2011-10-01), 171-196 0095-4616 64:2<171 2011 64 245 https://doi.org/10.1007/s00245-011-9135-z text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00245-011-9135-z text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Guyader Arnaud Université Rennes 2, 35043, Rennes Cedex, France aut NATIONALLICENCE 700 1- Hengartner Nicolas Information Sciences Group, Los Alamos National Laboratory, 86545, Los Alamos, NM, USA aut NATIONALLICENCE 700 1- Matzner-Løber Eric Université Rennes 2, 35043, Rennes Cedex, France aut NATIONALLICENCE 773 0- Applied Mathematics & Optimization Springer-Verlag 64/2(2011-10-01), 171-196 0095-4616 64:2<171 2011 64 245 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer