Fitting parametric models by conditional simulation
R. C. H. Cheng · 2002
The Rao-Blackwell theorem is applied to show that the method of control variates can be effected either in the standard way or by means of an equivalent conditional sampling procedure where the control variates are, in essence, stratified. This alternative method, called conditional simulation, is particularly convenient if a parametric model is to be fitted to the simulation response. An application which estimates the saturation point of a single server queue is described.>