Replication Schemes for Limiting Expectations

B. L. Fox and P. W. Glynn

Probability in the Engineering and Informational Sciences, Vol. 3, 299-318  (1989)

We show that natural estimators occurring in certain simulation settings have convergence rates less than the canonical rate usually associated with simulation. These natural estimators use replication schemes that attenuate bias. For some important examples, we find alternative estimators that converge at the canonical rate. The implications of these asymptotic comparisons for choosing good strategies when the computer-time budget is modest are discussed.