Extreme density level set estimation for input–output functions via the adaptive splitting technique

• Estimation of multidimensional quantile with a low simulation budget.
• Development of an efficient importance splitting estimate.
• Application to a realistic aerospace application.

In order to estimate the minimum volume set of a probability very close to zero, a plug-in estimator of density level set is built based on the adaptive splitting technique, a rare event dedicated probability technique. This algorithm is the main novelty of this paper. It is applied on the realistic estimation of a booster fallout zone.