Author:
Brown Mark,Solomon Herbert,Stephens Michael A.
Abstract
The problem of Monte Carlo estimation of M(t) = EN(t), the expected number of renewals in [0, t] for a renewal process with known interarrival time distribution F, is considered. Several unbiased estimators which compete favorably with the naive estimator, N(t), are presented and studied. An approach to reduce the variance of the Monte Carlo estimator is developed and illustrated.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
24 articles.
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