Reducing the dimensionality effect in importance sampling simulations
José Luis Sanz González, Santiago Zazo Bello, F. Álvarez Vaquero · 2013
The dimensionality effect is avoided by the use of sufficient statistics in event probability estimators realised by importance sampling. If the system function is not a sufficient statistic, an approach is proposed to reduce the dimensionality effect in the estimators. Simulation results of false-alarm probability estimations, applied to radar detection, confirm a clear concordance with the theoretical results