Regenerative Simulation for Estimating Extreme Values

DOI10.1287/opre.31.6.1145zbMath0532.65098OpenAlexW2078046932MaRDI QIDQ3314941

Donald L. Iglehart, Mark L. Stone

Publication date: 1983

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/83e107d82064ed18c7d98f86ae4a7d874b89abe6

zbMATH Keywords

comparison of methodsqueuebirth-death processesregenerative processesextreme value estimationregression methodNumerical resultsdiscrete event simulationdistribution of extreme values

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) General nonlinear regression (62J02) Markov processes: estimation; hidden Markov models (62M05) Queueing theory (aspects of probability theory) (60K25) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

On the Use of the SPRT in Determining the Properties of Some CUSUM Procedures ⋮ Modelling of extremal events in insurance and finance ⋮ Distributional Properties of CUSUM Stopping Times ⋮ A probabilistic analysis of the trading the line strategy ⋮ Regenerative Simulation for Queueing Networks with Exponential or Heavier Tail Arrival Distributions

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