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In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomizati...
Unbiased Estimation with Square Root Convergence for SDE Models
Unbiased Estimation Square Root Convergence SDE Models
2015/7/6
In many settings in which Monte Carlo methods are applied, there may be no known algorithm for exactly generating the random object for which an expectation is to be computed. Frequently, however, one...
Minima of convex integral functionals and unbiased estimation
convex integral functionals unbiased estimation
2009/9/24
Minima of convex integral functionals and unbiased estimation。
Unbiased Estimation of Functionals Under Random Censorship
Censored data Kaplan-Meier estimator mean lifetime product-limit estimator survival data
2009/3/10
This paper is intended as an investigation of estimating functionals of a lifetime distribution F under right censorship. Functionals given by ∫ φdF, where φ’s are known F-integrable functions, are co...