Proportion Estimation Of Correlated Sequences  

Oleh:

Chen, E. Jack

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Simulation vol. 76 no. 5 (May 2000), page 273-278.
Topik: Proportion estimation; histogram estimation; run length control
Fulltext: 273.pdf (408.84KB)

Isi artikel

Simulated estimates of proportions are needed in some simulation studies. We propose a quasi-independent method to determine the length of a simulation run so that the proportion estimates satisfy a pre-specified precision requirement. The method uses histogram approximation to generate confidence intervals with the desired precision. Because a histogram of the output sequence is constructed, several proportions can be estimated simultaneously without much extra effort. The assumptions required are that the stochastic process output sequence is continuous and satisfies the mixing conditions. An experimental performance evaluation demonstrates the validity of the quasi-independent procedure with histogram approximation.

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