Variance Reduction in Monte Carlo Simulation
STANFORD UNIV CA DEPT OF STATISTICS
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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.
- Statistics and Probability