Accession Number:

ADA073850

Title:

Variance Reduction in Monte Carlo Simulation

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Report Date:

1979-06-26

Pagination or Media Count:

18.0

Abstract:

The problem of Monte Carlo estimation of Mt ENt, 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, Nt, 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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE