Antithetic Cauchy-tail integration on a finite interval
ID: antithetic-cauchy-tail-integration-on-a-finite-interval
For standard Cauchy distribution probability density function and , this estimates its upper-tail probability without sampling a heavy tail. The function decreases on , while increases, so their covariance is nonpositive. The paired estimator is unbiased and has no larger variance than an estimator using the same number of independent probability density function evaluations.
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