Efficiency of Estimating Functions of Means in Rare-Event Contexts.
Winter Simulation Conference（2023）
摘要
When estimating a function of means, where some but not necessarily all of them correspond to rare events, we provide conditions under which having efficient estimators of each individual mean leads to an efficient estimator of the function of the means. We illustrate this setting through several examples, and numerical results complement the theory.
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关键词
Mean Function,Exponential Distribution,Asymptotic Distribution,Random Vector,Ratio Estimates,Small Probability,Central Limit Theorem,Alternative Estimation,Failure Time,Conditional Expectation,Expectation Operator,Regeneration Cycles,Large Threshold,Continuous-time Markov Chain,Queue Length,Estimand,Discrete-time Markov Chain,Mean Time To Failure,Assumption A1,Variance Reduction Techniques,State Space,Likelihood Ratio,Sample Paths,Repair Time,Proof Of Theorem,Numeric,Random Variables,Covariance Matrix,Event Of Interest
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