Estimation method of multivariate exponential probabilities based on a simplex coordinates transform

N.J. Olieman, B. van Putten

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

A novel unbiased estimator for estimating the probability mass of a multivariate exponential distribution over a measurable set is introduced and is called the Exponential Simplex (ES) estimator. For any measurable set, the standard error of the ES-estimator is at most the standard error of the well known Monte Carlo (MC) estimator. For non-radially shaped measurable sets, the ES-estimator has a strictly smaller standard error than the MC-estimator. For ray-convex sets, such as convex sets, the ES-estimator can be expressed in a simple analytical form.
Original languageEnglish
Number of pages8
JournalStochastic Programming E-Print Series
Volume2006
Issue number6
Publication statusPublished - 2006

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