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Recentered importance sampling with applications to Bayesian model validation
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Efficient estimation of Probit models with correlated errors
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Optimization of algorithmic methods for Bayesian inference. Dynamic modeling ...
This work consists in two parts, "Repeated estimates in bayesian modelling " and " Modelling of the transmission of infectious diseases in a population. Estimation of... -
Towards zero variance estimators for rare event probabilities
Improving Importance Sampling estimators for rare event probabilities requires sharp approximations of conditional densities. This is achieved for events... -
Estimation of rare event probabilities and extreme quantiles. Applications in...
Rare event dedicated techniques are of great interest for the aerospace industry because of the large amount money that can be lost because of risks associated with... -
A conditional limit theorem. Applications to conditional inference and Import...
This thesis presents a sharp approximation of the density of long runs of a random walk conditioned on its end value or by an average of a functions of its summands as... -
Meta-models for structural reliability and uncertainty quantification
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Adaptive surrogate models for reliability analysis and reliability-based desi...
This thesis is a contribution to the resolution of the reliability-based design optimization problem. This probabilistic design approach is aimed at considering the... -
Minimum variance importance sampling via Population Monte Carlo
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Convergence of adaptive sampling schemes
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An alternative competing risk model to the Weibull distribution in lifetime d...
A simple competing risk distribution as a possible alternative to the Weibull distribution in lifetime analysis is proposed. This distribution corresponds to the... -
Estimation de probabilités et de quantiles rares pour la caractérisation d'un...
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Importance sampling for jump processes and applications to finance
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On Computer-Intensive Simulation and Estimation Methods for Rare Event Analys...
International audience -
Long runs under a conditional limit distribution
55 pages. To appear Annals of Applied Probability
