Large-sample variance of simulation using refined descriptive sampling: Case of independent variables

Leila Baiche and Megdouda Ourbih-Tari

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 1, 510-519

Abstract: Derived from descriptive sampling (DS) as a better approach to Monte Carlo simulation, refined DS is a method of sampling that can be used to produce input values for estimation of expectations of functions of output variables. In this article, the asymptotic variance of such an estimate in case of independent input variables is obtained and it was shown that asymptotically, the variance is less than that obtained using simple random sampling.

Date: 2017
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DOI: 10.1080/03610926.2014.997362

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