Replication Schemes For Limiting Expectations

1 January 1989

journal article
research article
Published by Cambridge University Press (CUP) in Probability in the Engineering and Informational Sciences

Vol. 3 (3) , 299-318
https://doi.org/10.1017/s0269964800001170

Abstract

We show that natural estimators occurring in certain simulation settings have convergence rates less than the canonical rate usually associated with simulation. These natural estimators use replication schemes that attenuate bias. For some important examples, we find alternative estimators that converge at the canonical rate. The implications of these asymptotic comparisons for choosing good strategies when the computer-time budget is modest are discussed.

Keywords

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