On the Variance of the Hazard Estimator in Simulation

DOI10.1017/S026996480000214XzbMath1134.60359OpenAlexW2107907282MaRDI QIDQ3416019

Gerald 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

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

Cites Work

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

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