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PDF-ControlVariates

PDF-ControlVariates

Author : lois-ondreau | Published Date : 2015-12-01

Example1 Example1ObjectiveIdefEhW1W254iwhereW1W2areindependentwiththesameWeibulldistributionfx32p xexpx321Rx 1 IfUisuniformon01thenWlnU23isdistributedasW1 2 EstimateIusinga

Example1 Example1ObjectiveIdef=Eh(W1+W2)5=4iwhereW1;W2areindependentwiththesameWeibulldistributionf(x)=3=2p xexp(x3=2)1R+(x): 1 IfUisuniformon[0;1] thenW=(lnU)2=3isdistributedasW1. 2 EstimateIusinga

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