On the Variance of the Hazard Estimator in Simulation

DOI10.1017/S026996480000214XMaRDI QIDQ3416019zbMATH OpenOpenAlexFDO

Authors Gerald J. Lieberman, Sheldon M. Ross

Publication date 19 January 2007

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s026996480000214x

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Using Simulation to Estimate First Passage Distribution
• Variance Reduction in Simulation via Random Hazards
• Derandomizing variance estimators
• Discrete-time ``inversion and derivative estimation for Markov chains
• ASYMPTOTIC VARIANCE OF PASSAGE TIME ESTIMATORS IN MARKOV CHAINS

Cites work

• A note on randomly evolving hazard rate functions
• Using Simulation to Estimate First Passage Distribution

Cited in

(4)

• On the generalization of the hazard rate twisting-based simulation approach
• Variance Reduction in Simulation via Random Hazards
• Using Simulation to Estimate First Passage Distribution
• Simulation Studies of a Hölder Perturbation in a New Estimator for Proportion Considering Extra-Binomial Variability

This page was built for publication: On the Variance of the Hazard Estimator in Simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3416019)