Some properties of simulation interval estimators under dependence induction

Barry L. Nelson

doi:10.1016/0167-6377(87)90015-0

Some properties of simulation interval estimators under dependence induction

Barry L. Nelson^*

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Contribution to journal › Article › peer-review

4 Scopus citations

Abstract

Some basic, but surprising properties of confidence intervals formed under antithetic-variates and common-random-numbers variance reduction techniques are derived. It is shown that improved point estimator performance, the primary goal of variance reduction techniques, does not necessarily imply improved interval estimator performance.

Original language	English (US)
Pages (from-to)	169-176
Number of pages	8
Journal	Operations Research Letters
Volume	6
Issue number	4
DOIs	https://doi.org/10.1016/0167-6377(87)90015-0
State	Published - Sep 1987

Keywords

simulation
statistical analysis
variance reduction

ASJC Scopus subject areas

Software
Management Science and Operations Research
Industrial and Manufacturing Engineering
Applied Mathematics

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10.1016/0167-6377(87)90015-0

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title = "Some properties of simulation interval estimators under dependence induction",

abstract = "Some basic, but surprising properties of confidence intervals formed under antithetic-variates and common-random-numbers variance reduction techniques are derived. It is shown that improved point estimator performance, the primary goal of variance reduction techniques, does not necessarily imply improved interval estimator performance.",

keywords = "simulation, statistical analysis, variance reduction",

author = "Nelson, {Barry L.}",

year = "1987",

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doi = "10.1016/0167-6377(87)90015-0",

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AU - Nelson, Barry L.

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N2 - Some basic, but surprising properties of confidence intervals formed under antithetic-variates and common-random-numbers variance reduction techniques are derived. It is shown that improved point estimator performance, the primary goal of variance reduction techniques, does not necessarily imply improved interval estimator performance.

AB - Some basic, but surprising properties of confidence intervals formed under antithetic-variates and common-random-numbers variance reduction techniques are derived. It is shown that improved point estimator performance, the primary goal of variance reduction techniques, does not necessarily imply improved interval estimator performance.

KW - simulation

KW - statistical analysis

KW - variance reduction

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DO - 10.1016/0167-6377(87)90015-0

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VL - 6

SP - 169

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JO - Operations Research Letters

JF - Operations Research Letters

IS - 4

ER -

Some properties of simulation interval estimators under dependence induction

Abstract

Keywords

ASJC Scopus subject areas

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