Using Control Variables to Improve the Efficiency of Percentile Estimation in Stochastic Simulation |
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Authors: | Robert W. Ashford Maria C. M. Guedes |
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Affiliation: | 1.School of Industrial and Business Studies, University of Warwick,UK;2.Grupo de Mathematica Aplicada, Universidade do Porto,Portugal |
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Abstract: | Control variables may be used in the estimation of percentiles by stochastic stimulation. Hitherto control variables have only been applied to estimating the mean of a response variable; however, in many uses of simulation, information about the tails of the distribution of a response variable are of more interest. The efficacy of the method is demonstrated by application to an example of a simulation study in capital budgeting where exposure to risk is important. |
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