Using Simulation to Estimate First Passage Distributions.

Abstract

Consider a discrete time Markov process (X sub n, n > or = 0). For a given subset A of the state space consider the problem of using simulation to estimate the number of transitions it takes the process to enter A. Using estimators based on the 'observed hazard', we are able to improve on the usual Monte Carlo estimator. We also consider the problem of estimating the distribution of the first state in A to be reached, and then extend our results to continuous time.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1983
Accession Number
ADA132328

Entities

People

  • Sheldon M. Ross
  • Zvi Schechner

Organizations

  • University of California, Berkeley

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Air Force
  • California
  • Classification
  • Estimators
  • Industrial Engineering
  • Markov Chains
  • Markov Processes
  • New York
  • Operations Research
  • Probability
  • Random Variables
  • Security
  • Simulations
  • Statistical Algorithms
  • Transitions
  • United States

Fields of Study

  • Mathematics

Readers

  • International Relations and European Studies
  • Statistical inference.

Technology Areas

  • Space