Bram van Putten, Wageningen University
(SPEPS)
Taylor & Francis
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
Niels J. Olieman, Wageningen University Bram van Putten, Wageningen University | Title: | Estimation method of multivariate exponential probabilities based on a simplex coordinates transform |
| Date of Acceptance: | 09.03.2006 |
| Submission Date: | 31.01.2006 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| To appear in: |
Journal of Statistical Computation and Simulation Taylor & Francis |
| Metadata export:
To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
|
Endnote Bibtex |
| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| A novel unbiased estimator for estimating the probability mass of a multivariate exponential distribution over a measurable set is introduced and is called the Exponential Simplex (ES) estimator. For any measurable set, the standard error of the ES-estimator is at most the standard error of the well known Monte Carlo (MC) estimator. For non-radially shaped measurable sets, the ES-estimator has a strictly smaller standard error than the MC-estimator. For ray-convex sets, such as convex sets, the ES-estimator can be expressed in a simple analytical form. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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