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Determining the Optimal Sample Size in the Monte Carlo Experiments

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Author(s): Mustafa Y. Ata

Journal: Sel├žuk Journal of Applied Mathematics
ISSN 1302-7980

Volume: 7;
Issue: 2;
Start page: 103;
Date: 2006;
Original page

Keywords: Sequential confidence interval | stopping rule | Monte Carlo | convergence.

ABSTRACT
A convergence criterion for the Monte Carlo estimates will be proposed which can be used as a stopping rule for the Monte Carlo experiments. The proposed criterion searches a convergence band of a given width and length such that the probability of the Monte Carlo sample variance to fall outside of this band is practically null. After the convergence to the process variance realized according to the new rule, a confidence interval in the usual statistical sense can be determined for the steady-state mean of the process.
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