Replication Schemes For Limiting Expectations

DOI10.1017/S0269964800001170MaRDI QIDQ3415931zbMATH OpenOpenAlexFDO

Authors Bennett L. Fox, Peter W. Glynn

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/s0269964800001170

Mathematics Subject Classification ID

Statistics (62-XX) Computing methodologies and applications (68U99)

Recommendations

• Limit theorems for the method of replication
• Bias Properties of Budget Constrained Simulations
• scientific article; zbMATH DE number 1943906
• Analysis of parallel replicated simulations under a completion time constraint
• Exact expected values of variance estimators for simulation

Cites work

• Convergence Properties of Infinitesimal Perturbation Analysis Estimates
• scientific article; zbMATH DE number 3532286 (Why is no real title available?)
• scientific article; zbMATH DE number 3538576 (Why is no real title available?)
• Limit theorems for the method of replication
• On the calculation of definite integrals dependent on a parameter by the monte carlo method
• Upper bounds on Poisson tail probabilities

Cited in

(8)

• Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
• Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations
• Limit theorems for the method of replication
• Bias Properties of Budget Constrained Simulations
• Asymptotic simulation efficiency based on large deviations
• Computing Bayesian means using simulation
• Copula sensitivity analysis for portfolio credit derivatives
• Derivative-free optimization via finite difference approximation: an experimental study

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