Monte Carlo Estimation under Different Distributions Using the Same Simulation

DOI10.2307/1269770zbMATH Open0622.62109OpenAlexW2049429870MaRDI QIDQ3759784FDOQ3759784

Richard J. Beckman, Michael McKay

Publication date: 1987

Full work available at URL: https://digital.library.unt.edu/ark:/67531/metadc1194505/

zbMATH Keywords

samplingsensitivity analysisimportance samplingMonte Carlo estimationchanges in distribution of random inputslarge simulation computer codesunbiased estimators of functions of the output variable

Mathematics Subject Classification ID

Applications of statistics (62P99) Computing methodologies and applications (68U99)

Cited In (19)

• Multivariate error modeling and uncertainty quantification using importance (re-)weighting for Monte Carlo simulations in particle transport
• On the consistency of Sobol indices with respect to stochastic ordering of model parameters
• Functional ANOVA with Multiple Distributions: Implications for the Sensitivity Analysis of Computer Experiments
• Robustness of the Sobol' Indices to Marginal Distribution Uncertainty
• Model replication techniques for parameter-influence studies and Monte Carlo simulation with random parameters
• Take-or-pay contract valuation under price and private uncertainty
• On the inverse problem in Monte Carlo experiments
• On the use of random set theory to bracket the results of Monte Carlo simulations
• Imprecise random variables, random sets, and Monte Carlo simulation
• How to optimize discrete-event systems from a single sample path by the score function method
• Modified importance sampling for performance evaluation and sensitivity analysis of computer simulation models
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• Optimal allocation of computer time in monte carlo studies of interval procedures
• Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
• Density modification-based reliability sensitivity analysis
• Estimates and confidence intervals for importance sampling sensitivity analysis
• Sensitivity analysis and related analyses: A review of some statistical techniques
• Fast Search and Estimation of Bayesian Nonparametric Mixture Models Using a Classification Annealing EM Algorithm
• Reverse sensitivity testing: what does it take to break the model?

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