Improving the Asmussen–Kroese-Type Simulation Estimators
| Autor: | Sheldon M. Ross, Samim Ghamami |
|---|---|
| Rok vydání: | 2012 |
| Předmět: |
65C05
Statistics and Probability General Mathematics efficient Monte Carlo estimation variance reduction Monte Carlo method Type (model theory) Control variates 01 natural sciences 010104 statistics & probability stop-loss transform control variate Statistics 0101 mathematics Heavy-tailed random variable conditioning stratification Mathematics Event (probability theory) Discrete mathematics 010102 general mathematics Estimator 91G20 Variance reduction Statistics Probability and Uncertainty Random variable rare event |
| Zdroj: | J. Appl. Probab. 49, no. 4 (2012), 1188-1193 |
| ISSN: | 1475-6072 0021-9002 |
| Popis: | The Asmussen–Kroese Monte Carlo estimators of P(S n > u) and P(S N > u) are known to work well in rare event settings, where S N is the sum of independent, identically distributed heavy-tailed random variables X 1,…,X N and N is a nonnegative, integer-valued random variable independent of the X i . In this paper we show how to improve the Asmussen–Kroese estimators of both probabilities when the X i are nonnegative. We also apply our ideas to estimate the quantity E[(S N -u)+]. |
| Databáze: | OpenAIRE |
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