Variance Reduction in Monte Carlo Simulation

Abstract

The problem of Monte Carlo estimation of M(t) = EN(t), the expected number of renewals (O,t) for a renewal process with known interarrival time distribution F, is considered. Several unbiased estimators which compete favorably with the naive estimator, N(t), are presented and studied. We believe that our approach and methodology, although only applied to renewal function estimation in this paper, can be useful in a large variety of problems.

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Document Details

Document Type
Technical Report
Publication Date
Jun 26, 1979
Accession Number
ADA073850

Entities

People

  • Herbert Solomon
  • Mark O. Brown
  • Michael A. Stephens

Organizations

  • Stanford University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Classification
  • Covariance
  • Data Science
  • Estimators
  • Information Science
  • Military Research
  • Monte Carlo Method
  • Security
  • Simulations
  • Statistical Algorithms
  • Statistical Estimation
  • Statistics
  • United States
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Snow Cover Descriptors for Reptiles and Their Illustrations.
  • Statistical inference.