TY - JOUR

T1 - An improved hazard rate twisting approach for the statistic of the sum of subexponential variates

AU - Rached, Nadhir B.

AU - Kammoun, Abla

AU - Alouini, Mohamed-Slim

AU - Tempone, Raul

N1 - KAUST Repository Item: Exported on 2020-10-01

PY - 2015/1

Y1 - 2015/1

N2 - 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.

AB - 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.

UR - http://hdl.handle.net/10754/563992

UR - http://arxiv.org/abs/arXiv:1411.4281v2

UR - http://www.scopus.com/inward/record.url?scp=84921366245&partnerID=8YFLogxK

U2 - 10.1109/LCOMM.2014.2368562

DO - 10.1109/LCOMM.2014.2368562

M3 - Article

SN - 1089-7798

VL - 19

SP - 14

EP - 17

JO - IEEE Communications Letters

JF - IEEE Communications Letters

IS - 1

ER -