Monte Carlo simulation of the renewal function

1 June 1981

journal article
research article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 18 (02) , 426-434
https://doi.org/10.1017/s0021900200098077

Abstract

The problem of Monte Carlo estimation of M(t) = EN(t), the expected number of renewals in [0, t] for a renewal process with known interarrival time distribution F, is considered. Several unbiased estimators which compete favorably with the naive estimator, N(t), are presented and studied. An approach to reduce the variance of the Monte Carlo estimator is developed and illustrated.

Keywords

MONTE CARLO SIMULATION IN ESTIMATION
VARIANCE REDUCTION
RENEWAL THEORY
CUMULATIVE PROCESSES

This publication has 2 references indexed in Scilit:

Asymptotic Properties of Cumulative Processes
SIAM Journal on Applied Mathematics, 1972
Regenerative stochastic processes
Proceedings of the Royal Society of London. Series A. Mathematical and Physical Sciences, 1955