{"id":"https://openalex.org/W3124859313","doi":"https://doi.org/10.1109/wsc.2015.7408202","title":"Tail distribution of the maximum of correlated Gaussian random variables","display_name":"Tail distribution of the maximum of correlated Gaussian random variables","publication_year":2015,"publication_date":"2015-12-01","ids":{"openalex":"https://openalex.org/W3124859313","doi":"https://doi.org/10.1109/wsc.2015.7408202","mag":"3124859313"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2015.7408202","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2015.7408202","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://handle.unsw.edu.au/1959.4/unsworks_38274","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5003450294","display_name":"Zdravko I. Botev","orcid":"https://orcid.org/0000-0001-9054-3452"},"institutions":[{"id":"https://openalex.org/I31746571","display_name":"UNSW Sydney","ror":"https://ror.org/03r8z3t63","country_code":"AU","type":"education","lineage":["https://openalex.org/I31746571"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Zdravko I. Botev","raw_affiliation_strings":["School of Mathematics and Statistics, The University of New South Wales, Sydney, NSW, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, The University of New South Wales, Sydney, NSW, Australia","institution_ids":["https://openalex.org/I31746571"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5033142925","display_name":"Michel Mandjes","orcid":"https://orcid.org/0000-0001-6783-4833"},"institutions":[{"id":"https://openalex.org/I887064364","display_name":"University of Amsterdam","ror":"https://ror.org/04dkp9463","country_code":"NL","type":"education","lineage":["https://openalex.org/I887064364"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Michel Mandjes","raw_affiliation_strings":["Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Amsterdam, XH, The Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Amsterdam, XH, The Netherlands","institution_ids":["https://openalex.org/I887064364"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052013487","display_name":"Ad Ridder","orcid":"https://orcid.org/0000-0002-2414-0548"},"institutions":[{"id":"https://openalex.org/I865915315","display_name":"Vrije Universiteit Amsterdam","ror":"https://ror.org/008xxew50","country_code":"NL","type":"education","lineage":["https://openalex.org/I865915315"]}],"countries":["NL"],"is_corresponding":false,"raw_author_name":"Ad Ridder","raw_affiliation_strings":["Faculty of Economics and Business Administration, Vrije University, Amsterdam, HV, The Netherlands"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Economics and Business Administration, Vrije University, Amsterdam, HV, The Netherlands","institution_ids":["https://openalex.org/I865915315"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.8698,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.85996445,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"115","issue":null,"first_page":"633","last_page":"642"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9987999796867371,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.998199999332428,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9919999837875366,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.8056014180183411},{"id":"https://openalex.org/keywords/minimum-variance-unbiased-estimator","display_name":"Minimum-variance unbiased estimator","score":0.7660467624664307},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.5761623978614807},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5754591822624207},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.5698683261871338},{"id":"https://openalex.org/keywords/bias-of-an-estimator","display_name":"Bias of an estimator","score":0.5392966866493225},{"id":"https://openalex.org/keywords/importance-sampling","display_name":"Importance sampling","score":0.5220513343811035},{"id":"https://openalex.org/keywords/efficient-estimator","display_name":"Efficient estimator","score":0.5212538838386536},{"id":"https://openalex.org/keywords/random-variable","display_name":"Random variable","score":0.5127264261245728},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5108211040496826},{"id":"https://openalex.org/keywords/simple-random-sample","display_name":"Simple random sample","score":0.47568073868751526},{"id":"https://openalex.org/keywords/steins-unbiased-risk-estimate","display_name":"Stein's unbiased risk estimate","score":0.4643538296222687},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.45601537823677063},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4288712441921234},{"id":"https://openalex.org/keywords/sampling","display_name":"Sampling (signal processing)","score":0.4267461597919464}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.8056014180183411},{"id":"https://openalex.org/C165646398","wikidata":"https://www.wikidata.org/wiki/Q3755281","display_name":"Minimum-variance unbiased estimator","level":3,"score":0.7660467624664307},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5761623978614807},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5754591822624207},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.5698683261871338},{"id":"https://openalex.org/C191393472","wikidata":"https://www.wikidata.org/wiki/Q15222032","display_name":"Bias of an estimator","level":4,"score":0.5392966866493225},{"id":"https://openalex.org/C52740198","wikidata":"https://www.wikidata.org/wiki/Q1539564","display_name":"Importance sampling","level":3,"score":0.5220513343811035},{"id":"https://openalex.org/C35594927","wikidata":"https://www.wikidata.org/wiki/Q2265984","display_name":"Efficient estimator","level":4,"score":0.5212538838386536},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.5127264261245728},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5108211040496826},{"id":"https://openalex.org/C20353970","wikidata":"https://www.wikidata.org/wiki/Q1056998","display_name":"Simple random sample","level":3,"score":0.47568073868751526},{"id":"https://openalex.org/C134962040","wikidata":"https://www.wikidata.org/wiki/Q7606742","display_name":"Stein's unbiased risk estimate","level":5,"score":0.4643538296222687},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.45601537823677063},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4288712441921234},{"id":"https://openalex.org/C140779682","wikidata":"https://www.wikidata.org/wiki/Q210868","display_name":"Sampling (signal processing)","level":3,"score":0.4267461597919464},{"id":"https://openalex.org/C106131492","wikidata":"https://www.wikidata.org/wiki/Q3072260","display_name":"Filter (signal processing)","level":2,"score":0.0},{"id":"https://openalex.org/C2908647359","wikidata":"https://www.wikidata.org/wiki/Q2625603","display_name":"Population","level":2,"score":0.0},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C31972630","wikidata":"https://www.wikidata.org/wiki/Q844240","display_name":"Computer vision","level":1,"score":0.0},{"id":"https://openalex.org/C149923435","wikidata":"https://www.wikidata.org/wiki/Q37732","display_name":"Demography","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1109/wsc.2015.7408202","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2015.7408202","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2015 Winter Simulation Conference (WSC)","raw_type":"proceedings-article"},{"id":"pmh:oai:dare.uva.nl:openaire_cris_publications/26d6ec44-5182-4684-a77b-1f34d26be534","is_oa":false,"landing_page_url":"https://dare.uva.nl/personal/pure/en/publications/tail-distribution-of-the-maximum-of-correlated-gaussian-random-variables(26d6ec44-5182-4684-a77b-1f34d26be534).html","pdf_url":null,"source":{"id":"https://openalex.org/S4306400088","display_name":"UvA-DARE (University of Amsterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I887064364","host_organization_name":"University of Amsterdam","host_organization_lineage":["https://openalex.org/I887064364"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Botev, Z I, Mandjes, M & Ridder, A 2015, Tail distribution of the maximum of correlated Gaussian random variables. in L Yilmaz, W K V Chan, I Moon, T M K Roeder, C Macal & M D Rossetti (eds), Proceedings of the 2015 Winter Simulation Conference: December 6-9, 2015, Huntington Beach, CA. Piscataway, NJ, pp. 633-642, 2015 Winter Simulation Conference (WSC '15), 6/12/15. https://doi.org/10.1109/WSC.2015.7408202","raw_type":"info:eu-repo/semantics/conferenceObject"},{"id":"pmh:oai:unsworks.unsw.edu.au:1959.4/unsworks_38274","is_oa":true,"landing_page_url":"http://handle.unsw.edu.au/1959.4/unsworks_38274","pdf_url":null,"source":{"id":"https://openalex.org/S4377196481","display_name":"UNSWorks (UNSW Sydney)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I31746571","host_organization_name":"UNSW Sydney","host_organization_lineage":["https://openalex.org/I31746571"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference Paper"},{"id":"pmh:oai:dare.uva.nl:publications/26d6ec44-5182-4684-a77b-1f34d26be534","is_oa":false,"landing_page_url":"https://handle.uba.uva.nl/personal/pure/en/publications/tail-distribution-of-the-maximum-of-correlated-gaussian-random-variables(26d6ec44-5182-4684-a77b-1f34d26be534).html","pdf_url":null,"source":{"id":"https://openalex.org/S4306400088","display_name":"UvA-DARE (University of Amsterdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I887064364","host_organization_name":"University of Amsterdam","host_organization_lineage":["https://openalex.org/I887064364"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Botev, Z I, Mandjes, M & Ridder, A 2015, Tail distribution of the maximum of correlated Gaussian random variables. in L Yilmaz, W K V Chan, I Moon, T M K Roeder, C Macal & M D Rossetti (eds), Proceedings of the 2015 Winter Simulation Conference: December 6-9, 2015, Huntington Beach, CA. Piscataway, NJ, pp. 633-642, 2015 Winter Simulation Conference (WSC '15), 6/12/15. https://doi.org/10.1109/WSC.2015.7408202","raw_type":"info:eu-repo/semantics/conferenceObject"},{"id":"pmh:oai:research.vu.nl:openaire_cris_publications/90de2081-865e-4721-ade9-264f3258e65c","is_oa":false,"landing_page_url":"https://research.vu.nl/en/publications/90de2081-865e-4721-ade9-264f3258e65c","pdf_url":null,"source":{"id":"https://openalex.org/S4306401107","display_name":"VU Research Portal","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I865915315","host_organization_name":"Vrije Universiteit Amsterdam","host_organization_lineage":["https://openalex.org/I865915315"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Botev, Z I, Mandjes, M & Ridder, A 2016, Tail distribution of the maximum of correlated Gaussian random variables. in 2015 Winter Simulation Conference, WSC 2015. vol. 2016-February, 7408202, Institute of Electrical and Electronics Engineers, Inc., pp. 633-642, Winter Simulation Conference, WSC 2015, Huntington Beach, United States, 6/12/15. https://doi.org/10.1109/WSC.2015.7408202","raw_type":"contributionToPeriodical"},{"id":"pmh:oai:research.vu.nl:publications/90de2081-865e-4721-ade9-264f3258e65c","is_oa":false,"landing_page_url":"http://www.scopus.com/inward/citedby.url?scp=84962909887&partnerID=8YFLogxK","pdf_url":null,"source":{"id":"https://openalex.org/S4306401107","display_name":"VU Research Portal","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I865915315","host_organization_name":"Vrije Universiteit Amsterdam","host_organization_lineage":["https://openalex.org/I865915315"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Botev, Z I, Mandjes, M & Ridder, A 2016, Tail distribution of the maximum of correlated Gaussian random variables. in 2015 Winter Simulation Conference, WSC 2015. vol. 2016-February, 7408202, Institute of Electrical and Electronics Engineers, Inc., pp. 633-642, Winter Simulation Conference, WSC 2015, Huntington Beach, United States, 6/12/15. https://doi.org/10.1109/WSC.2015.7408202","raw_type":"contributionToPeriodical"},{"id":"pmh:oai:unsworks.library.unsw.edu.au:1959.4/unsworks_38274","is_oa":true,"landing_page_url":"http://hdl.handle.net/1959.4/unsworks_38274","pdf_url":null,"source":{"id":"https://openalex.org/S4306401737","display_name":"UNSWorks (University of New South Wales, Sydney, Australia)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I40053085","host_organization_name":"Australian Defence Force Academy","host_organization_lineage":["https://openalex.org/I40053085"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"2015 Winter Simulation Conference (WSC), Huntington Beach, CA, 2015-12-06 - 2015-12-09","raw_type":"http://purl.org/coar/resource_type/c_5794"}],"best_oa_location":{"id":"pmh:oai:unsworks.unsw.edu.au:1959.4/unsworks_38274","is_oa":true,"landing_page_url":"http://handle.unsw.edu.au/1959.4/unsworks_38274","pdf_url":null,"source":{"id":"https://openalex.org/S4377196481","display_name":"UNSWorks (UNSW Sydney)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I31746571","host_organization_name":"UNSW Sydney","host_organization_lineage":["https://openalex.org/I31746571"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Conference Paper"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321800","display_name":"Nederlandse Organisatie voor Wetenschappelijk Onderzoek","ror":"https://ror.org/04jsz6e67"},{"id":"https://openalex.org/F4320334704","display_name":"Australian Research Council","ror":"https://ror.org/05mmh0f86"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":13,"referenced_works":["https://openalex.org/W5385147","https://openalex.org/W1545211435","https://openalex.org/W1891298814","https://openalex.org/W1993011087","https://openalex.org/W2008756354","https://openalex.org/W2012815150","https://openalex.org/W2021624181","https://openalex.org/W2116753372","https://openalex.org/W2118479715","https://openalex.org/W2141159152","https://openalex.org/W2488445073","https://openalex.org/W3102186526","https://openalex.org/W4249768348"],"related_works":["https://openalex.org/W2349547417","https://openalex.org/W2910434125","https://openalex.org/W2035998077","https://openalex.org/W4239491110","https://openalex.org/W3092888124","https://openalex.org/W1984619412","https://openalex.org/W2059813665","https://openalex.org/W2036535888","https://openalex.org/W2356451205","https://openalex.org/W4237435333"],"abstract_inverted_index":{"In":[0,68],"this":[1,56,71],"article":[2],"we":[3,72],"consider":[4,74],"the":[5,9,13,23,45,83,91],"efficient":[6,100],"estimation":[7],"of":[8,12,15,44,65,82],"tail":[10,85],"distribution":[11],"maximum":[14],"correlated":[16],"normal":[17],"random":[18],"variables.":[19],"We":[20,48],"show":[21],"that":[22,90],"currently":[24],"recommended":[25],"Monte":[26],"Carlo":[27],"estimator":[28,39,43,81,95],"has":[29],"difficulties":[30],"in":[31],"quantifying":[32],"its":[33,36,66,102],"precision,":[34],"because":[35],"sample":[37],"variance":[38],"is":[40],"an":[41,62],"inefficient":[42],"true":[46],"variance.":[47],"propose":[49],"a":[50,75],"simple":[51],"remedy:":[52],"to":[53,59,70],"still":[54],"use":[55],"estimator,":[57],"but":[58],"rely":[60],"on":[61],"alternative":[63],"quantification":[64],"precision.":[67],"addition":[69],"also":[73],"completely":[76],"new":[77],"sequential":[78,92],"importance":[79,93],"sampling":[80,94],"desired":[84],"probability.":[86],"Numerical":[87],"experiments":[88],"suggest":[89],"can":[96],"be":[97],"significantly":[98],"more":[99],"than":[101],"competitor.":[103]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1}],"updated_date":"2026-08-08T01:25:22.217667","created_date":"2025-10-10T00:00:00"}
