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December, 1990 Exponential Families and Regression in the Monte Carlo Study of Queues and Random Walks
Soren Asmussen
Ann. Statist. 18(4): 1851-1867 (December, 1990). DOI: 10.1214/aos/1176347883

Abstract

An importance sampling method studied by Siegmund and Asmussen in the case of waiting time probabilities is extended to the mean and other functionals. The ideas involve exponential families of queues and control variates (regression), and it is found both from theory and practice that the method is dramatically better than standard tools like regenerative simulation or sample-mean estimation, not least under heavy traffic conditions.

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Soren Asmussen. "Exponential Families and Regression in the Monte Carlo Study of Queues and Random Walks." Ann. Statist. 18 (4) 1851 - 1867, December, 1990. https://doi.org/10.1214/aos/1176347883

Information

Published: December, 1990
First available in Project Euclid: 12 April 2007

zbMATH: 0716.62082
MathSciNet: MR1074440
Digital Object Identifier: 10.1214/aos/1176347883

Subjects:
Primary: 65C05
Secondary: 62J05 , 62M05

Keywords: control variates , heavy traffic , importance sampling , Monte Carlo method , Random walk , regression , variance reduction , waiting time

Rights: Copyright © 1990 Institute of Mathematical Statistics

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Vol.18 • No. 4 • December, 1990
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