Large-sample variance of simulation using refined descriptive sampling: Case of independent variables

DOI10.1080/03610926.2014.997362zbMath1456.60004OpenAlexW2312862632MaRDI QIDQ2980084

Megdouda Ourbih-Tari, Leila Baiche

Publication date: 27 April 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.997362

zbMATH Keywords

estimationsimulationMonte Carlo methodsvariance

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08) Sampling theory in information and communication theory (94A20) Mathematical modeling or simulation for problems pertaining to quantum theory (81-10)

Related Items (5)

Adaptive refined descriptive sampling algorithm for dependent variables using Iman and Conover method in Monte Carlo simulation ⋮ Refined descriptive sampling simulated annealing algorithm for solving the traveling salesman problem ⋮ Maximum likelihood estimation of parameters of a random variable using Monte Carlo methods ⋮ The use of variance reduction, relative error and bias in testing the performance of M/G/1 retrial queues estimators in Monte Carlo simulation ⋮ Comparing M/G/1 queue estimators in Monte Carlo simulation through the tested generator ``getRDS and the proposed ``getLHS using variance reduction

Cites Work

• On Latin hypercube sampling
• A comparison of methods for selecting values of simulation input variables
• Monte Carlo integration – a case-study for simulation

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