Concepedia

Conditional Monte Carlo

Conditional Monte Carlo is a variance reduction technique in computational statistics that belongs to the class of Monte Carlo methods, distinguished by its use of conditional expectations to reduce the variability of estimators through analytical integration over a subset of random variables.

56

Publications

2.2K

Citations

106

Authors

60

Institutions

Publications per year

2017–2026

12

Variants

Conditional Monte Carlo MethodConditional Monte Carlo Methods

Parents

Publications

56

A unified framework for simulating Markovian models of highly dependable systems

A. Goyal, Perwez Shahabuddin, Philip Heidelberger et al. · IEEE Transactions on Computers · 1992 · 226 citations

, , +17

Conditional Monte Carlo: A Simulation Technique for Stochastic Network Analysis

John M. Burt, Mark B. Garman · Management Science · 1971 · 154 citations

, , +16

Improved algorithms for rare event simulation with heavy tails

Søren Asmussen, Dirk P. Kroese · Advances in Applied Probability · 2006 · 147 citations

, , +17

Testing for Spatial Association Between a Point Process and Another Stochastic Process

Mark Berman · Journal of the Royal Statistical Society Series C (Applied Statistics) · 1986 · 120 citations

, , +17

Simulation of Ruin Probabilities for Subexponential Claims

Søren Asmussen, Klemens Binswanger · Astin Bulletin · 1997 · 114 citations · Full text

, , +9

1–5 of 56

Authors

106

  1. PL
    Pierre L’Ecuyer

    Université de Montréal, Canada

    4 publications · 155 citations

    4

    h-index

  2. HC
    Huub C. J. Hoefsloot

    University of Amsterdam, Netherlands

    4 publications · 85 citations

    4

    h-index

  3. PD
    Piet D. Iedema

    University of Amsterdam, Netherlands

    4 publications · 85 citations

    4

    h-index

  4. SA
    Søren Asmussen

    Aarhus University, Denmark

    4 publications · 327 citations

    4

    h-index

  5. DP
    Dirk P. Kroese

    The University of Queensland, Australia

    3 publications · 229 citations

    3

    h-index

1–5 of 106

Institutions

60

  1. The University of Queensland

    Brisbane, Australia

    6 h-index

    9 publications

    431 citations

  2. Université de Montréal

    Montreal, Canada

    4 h-index

    7 publications

    207 citations

  3. University of Amsterdam

    Amsterdam, The Netherlands

    4 h-index

    8 publications

    170 citations

  4. Aarhus University

    Aarhus, Denmark

    3 h-index

    4 publications

    252 citations

  5. Massachusetts Institute of Technology

    Cambridge, United States

    3 h-index

    3 publications

    171 citations

  6. University of California, Los Angeles

    Los Angeles, United States

    2 h-index

    4 publications

    196 citations

  7. Columbia University

    New York, United States

    2 h-index

    2 publications

    24 citations

  8. UNSW Sydney

    Sydney, Australia

    2 h-index

    2 publications

    30 citations

1–8 of 60

Venues

  1. arXiv (Cornell University)

    Repository · 4 publications · 63 citations

    4

    h-index

  2. Advances in Applied Probability

    AAP · 3 publications · 199 citations

    3

    h-index

  3. Management Science

    3 publications · 278 citations

    3

    h-index

  4. Polymer

    2 publications · 31 citations

    2

    h-index

  5. ACM Transactions on Modeling and Computer Simulation

    TOMACS · 2 publications · 29 citations

    2

    h-index

1–5