Monte Carlo methods are a fundamental tool in many areas of statistics. In this thesis, we will examine these methods, especially for rare event simulation. We are mainly interested in the computation of multivariate normal probabilities and in constructing hitting thresholds in survival analysis models. Firstly, we develop an algorithm for computing high dimensional normal probabilities. These kinds of probabilities are a fundamental tool in many statistical applications. The new algorithm exploits the diagonalisation of the covariance matrix and uses various variance reduction techniques. Its performance is evaluated via a simulation study. The new method is designed for computing small exceedance probabilities. Secondly, we introduce a new omnibus cumulative sum chart for monitoring in survival analysis models. By omnibus we mean that it is able to detect any change. This chart exploits the absolute differences between the Kaplan-Meier estimator and the in-control distribution over specific time intervals. A simulation study is presented that evaluates the performance of our proposed chart and compares it to existing methods. Thirdly, we apply the method of adaptive multilevel splitting for the estimation of hitting probabilities and hitting thresholds for the survival analysis cumulative sum charts. Simulation results are presented evaluating the benefits of adaptive multilevel splitting. Finally, we extend the idea of adaptive multilevel splitting by estimating not just a hitting probability, but the whole distribution function up to a certain point. A theoretical result is proved that is used to construct confidence bands for the distribution function conditioned on lying in a closed interval.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:550210 |
| Date | January 2012 |
| Creators | Phinikettos, Ioannis |
| Contributors | Gandy, Axel ; Young, Alastair |
| Publisher | Imperial College London |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://hdl.handle.net/10044/1/9518 |
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