Script to calculate and plot Variance of Var-of-CE estimator

2 ANOVA-based methods to estimate Variance-of-Conditional-Expectation are compared in terms of estimator's variance and other metrics.
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Updated Mon, 13 May 2019 08:40:32 +0000

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Sun, Apley and Staum, OR, 2011 proposed an ANOVA-based Var-of-CE estimator which we call the n*-based Var-of-CE estimator. The formula for a different ANOVA-based estimator for Var-of-CE, published as IIM Kozhikode Working Paper IIMK/WPS/338/ITS/2019/02, is called the n_k-based Var-of-CE estimator - which appears to have the advantage of not requiring n* to be calculated using a pilot simulation. This script iteratively calls 2 other MATLAB Central scripts Variance_Of_ANOVA*Var_Of_CE_Estimator.m (uploaded by same authors) to calculate the closed-form variance of both estimators for different sampling budgets - and displays this and other metrics using graphs. Experiments considered are 3 of the work in T. Goda, OR Letters, 2017.

Cite As

Shahid Abdulla (2024). Script to calculate and plot Variance of Var-of-CE estimator (https://www.mathworks.com/matlabcentral/fileexchange/71302-script-to-calculate-and-plot-variance-of-var-of-ce-estimator), MATLAB Central File Exchange. Retrieved .

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Created with R2019a
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Version Published Release Notes
1.1

Script now compares Goda's Estimator #3 alongside 2 ANOVA-based methods (for the 3 benchmark experiments in Goda's paper 'Computing the variance of a conditional expectation via Non-nested Monte Carlo'). Use Variance_Of_Goda_Var_Of_CE_Estimator.m

1.0.0