Exponential families and regression in the Monte Carlo study of queues and random walks

DOI10.1214/aos/1176347883zbMath0716.62082OpenAlexW2074123421MaRDI QIDQ753366

Soren Asmussen

Publication date: 1990

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347883

zbMATH Keywords

variance reductionrandom walkregressioncontrol variatesexponential families of queuesheavy traffic conditionsimportance sampling methodregenerative simulationsample-mean estimationwaiting time probabilities

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Related Items (4)

Optimal design of experiments with simulation models of nearly saturated queues ⋮ Simulating the maximum of a random walk ⋮ NEW ESTIMATORS FOR EFFICIENT GI/G/1 SIMULATION ⋮ Variance Reduction for Simulating Transient GI/G/1 Behavior

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