Sampling efficiency in Monte Carlo analyses |
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Authors: | Charles E Clark |
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Institution: | (1) System Development Corporation, Santa Monica, California |
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Abstract: | Stochastic processes that are sampled in Monte Carlo analyses can be so complex that sampling efficiency is difficult to attain.
To handle these difficulties we introduce a model of the elements of a stochastic process which are relevant to the problem
of sampling efficiency. From this model we derive a multistage estimating procedure which automatically adjusts the parameters
of an efficient sampling design. |
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Keywords: | |
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