|edoc-Server der Humboldt-Universität zu Berlin|
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|
Stochastic Programming E-Print Series |
|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|
|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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