Accession Number : ADA132328
Title : Using Simulation to Estimate First Passage Distributions.
Descriptive Note : Research rept.,
Corporate Author : CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
Personal Author(s) : Ross,Sheldon M ; Schechner,Zvi
PDF Url : ADA132328
Report Date : Jan 1983
Pagination or Media Count : 25
Abstract : Consider a discrete time Markov process (X sub n, n or = 0). For a given subset A of the state space consider the problem of using simulation to estimate the number of transitions it takes the process to enter A. Using estimators based on the 'observed hazard', we are able to improve on the usual Monte Carlo estimator. We also consider the problem of estimating the distribution of the first state in A to be reached, and then extend our results to continuous time.
Descriptors : *Markov processes, Distribution functions, Simulation, Estimates, Approximation(Mathematics), Random variables, Monte Carlo method
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE