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On the Variance of the Hazard Estimator in Simulation
Published online by Cambridge University Press: 27 July 2009
Abstract
Suppose a discrete time Markov process is simulated so as to estimate p, the probability that it enters the set of states A before it enters the set of states B, for disjoint sets A and B. It is shown that the total hazard, which is an unbiased estimator of p, has a variance that is bounded above by p(2 – p).
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- Probability in the Engineering and Informational Sciences , Volume 5 , Issue 3 , July 1991 , pp. 355 - 359
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- Copyright © Cambridge University Press 1991
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