Measuring what's missing: Practical estimates of coverage for stochastic simulations

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Stochastic sensitivity analyses rarely measure the extent to which realized simulations cover the search space. Rather, simulation lengths are typically chosen according to expert judgement. In response, this paper recommends a novel application of Good-Turing estimators of missing distributional mass. Using the UNDP's Human Development Index, the empirical performance of such coverage metrics are compared to alternative measures of convergence. The former are advantageous -- they provide probabilistic estimates of simulation coverage and permit calculation of strict bounds on estimates of pairwise dominance (for all possible weight vectors, how often country X dominates country Y).
Original languageEnglish
JournalJournal of Statistical Computation and Simulation
Volume86
Issue number9
Pages (from-to)1660-1672
ISSN0094-9655
DOIs
Publication statusPublished - 2016

ID: 146298923