A new simulation estimator of system reliability
Sheldon M. Ross
International Journal of Stochastic Analysis, 1994, vol. 7, 1-6
A basic identity is proven and applied to obtain new simulation estimators concerning (a) system reliability, (b) a multi-valued system. We show that the variance of this new estimator is often of the order α 2 when the usual raw estimator has variance of the order α and α is small. We also indicate how this estimator can be combined with standard variance reduction techniques of antithetic variables, stratified sampling and importance sampling.
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:247534
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