A cross-estimation technique for using control variables in stochastic simulations

DOI10.1016/0377-2217(89)90428-1zbMath0673.62058OpenAlexW2054770317MaRDI QIDQ1120938

E. M. L. Beale, Robert Ashford

Publication date: 1989

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(89)90428-1

zbMATH Keywords

variance reductioncontrol variablescross-estimationefficiency of stochastic simulations

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

Related Items (1)

Using martingales to make stochastic simulations more precise

Cites Work

• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Regression Estimation in Simulation
• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• Efficient Computing of Regression Diagnostics
• Statistical Results on Control Variables with Application to Queueing Network Simulation
• Detection of Influential Observation in Linear Regression
• Concomitant Control Variables Applied to the Regenerative Simulation of Queuing Systems
• SOME THEOREMS IN LEAST SQUARES
• Ethical issues in modeling: Some reflections
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