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  6. Multidimensional rare event probability ...

Computational Science and Techniques

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Multidimensional rare event probability estimation algorithm
Volume 1, Issue 2 (2013), pp. 222–228
Leonidas Sakalauskas   Ingrida Vaičiulytė  

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Pub. online: 18 September 2013      Type: Article      Open accessOpen Access

Received
7 August 2013
Accepted
21 August 2013
Published
18 September 2013

Abstract

This work contains Monte–Carlo Markov Chain algorithm for estimation of multi-dimensional rare events frequencies. Logits of rare event likelihood we are modeling with Poisson distribution, which parameters are distributed by multivariate normal law with unknown parameters – mean vector and covariance matrix. The estimations of unknown parameters are calculated by the maximum likelihood method. There are equations derived, those must be satisfied with model’s maximum likelihood parameters estimations. Positive definition of evaluated covariance matrixes are controlled by calculating ratio between matrix maximum and minimum eigenvalues.

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