Estimation method of multivariate exponential probabilities based on a simplex coordinates transform
A novel unbiased estimator for estimating the probability mass of a multivariate exponential distribution over a measurable set is introduced and is called the Exponential Simplex (ES) estimator. For any measurable set, the standard error of the ES-estimator is at most the standard error of the well known Monte Carlo (MC) estimator. For non-radially shaped measurable sets, the ES-estimator has a strictly smaller standard error than the MC-estimator. For ray-convex sets, such as convex sets, the ES-estimator can be expressed in a simple analytical form.
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| Main Authors: | , |
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| Format: | Article/Letter to editor biblioteca |
| Language: | English |
| Subjects: | Life Science, |
| Online Access: | https://research.wur.nl/en/publications/estimation-method-of-multivariate-exponential-probabilities-based-2 |
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