Simulating stable stochastic systems, V: Comparison of ratio estimators

Donald L. Iglehart

91 citations0/0 files storedNaval Research Logistics Quarterly

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Simulation Techniques and Applications Probability and Statistical Research Markov Chains and Monte Carlo Methods

Abstract

Abstract The regenerative method for estimating parameters in a simulation requires the simulator to estimate the ratio of two means. Five point estimates and four confidence intervals for this ratio have been computed for three stochastic simulations. The jackknife method appears to be the most promising for both point and interval estimation.

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References

1970Principles of Operations Research.1941The Biological Standardization of Insulin 1975Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations 1974Simulating Stable Stochastic Systems, I: General Multiserver Queues 1968The serial correlation coefficients of waiting times in a stationary single server queue 1974Simulating Stable Stochastic Systems, II: Markov Chains

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2018Probabilistic Sensitivity Analysis in Cost-Effectiveness Models: Determining Model Convergence in Cohort Models 1984Confidence Intervals for Steady-State Simulations: I. A Survey of Fixed Sample Size Procedures 1976Simulating Stable Stochastic Systems, VI: Quantile Estimation 1977Sequential Stopping Rules for the Regenerative Method of Simulation 1977Statistical analysis of simulation output data 1980A Coverage Function for Interval Estimators of Simulation Response 1990Bias Properties of Budget Constrained Simulations

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