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Simulating stable stochastic systems, V: Comparison of ratio estimators

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  • Donald L. Iglehart

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.

Suggested Citation

  • Donald L. Iglehart, 1975. "Simulating stable stochastic systems, V: Comparison of ratio estimators," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 22(3), pages 553-565, September.
    • Handle: RePEc:wly:navlog:v:22:y:1975:i:3:p:553-565
    DOI: 10.1002/nav.3800220311
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    Cited by:

    1. Anthony J. Hatswell & Ash Bullement & Andrew Briggs & Mike Paulden & Matthew D. Stevenson, 2018. "Probabilistic Sensitivity Analysis in Cost-Effectiveness Models: Determining Model Convergence in Cohort Models," PharmacoEconomics, Springer, vol. 36(12), pages 1421-1426, December.
    2. Christos Alexopoulos & David Goldsman & Anup C. Mokashi & Kai-Wen Tien & James R. Wilson, 2019. "Sequest: A Sequential Procedure for Estimating Quantiles in Steady-State Simulations," Operations Research, INFORMS, vol. 67(4), pages 1162-1183, July.
    3. Koike, Takaaki & Saporito, Yuri & Targino, Rodrigo, 2022. "Avoiding zero probability events when computing Value at Risk contributions," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 173-192.

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