Abstract
Samawi (1999) showed that the efficiency of Monte Carlo methods of integrals estimation can be substantially improved by using ranked simulated samples (RSIS) in place of uniform simulated samples (USIS). However, in this paper it is shown that substantial improvement of efficiency can be achieved further by using the steady state ranked simulated sample (SRSIS). It appears that the modified Monte Carlo methods using SRSIS provide unbiased and more efficient estimators for the integrals. Some theoretical properties of SRSIS are given. A simulation study is conducted to compare the performance of the methods using SRSIS with respect to USIS, for some examples. Copyright © 2000 by Marcel Dekker, Inc.
| Original language | American English |
|---|---|
| Pages (from-to) | 941-954 |
| Number of pages | 14 |
| Journal | Communication in Statistics - Simulation and Computation |
| Volume | 29 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jan 1 2000 |
Scopus Subject Areas
- Statistics and Probability
Keywords
- Antithetic sampling
- Control variate
- Crude sampling
- Importance sampling
- Order statistics
- Ranked simulated sample
- Steady state ranked simulated sample
- Uniform simulated sample