Variance of Var-of-CE estimator using ANOVA formula

Versione 1.2 (1,63 KB) da Shahid Abdulla
Code for Var({\hat{\sigma}}^2_M) of "Efficient Nested Simulation for Estimating the Variance of a Conditional Expectation", OR, 59(4), 2011
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Aggiornato 22 apr 2019

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Companion Material for IIM Kozhikode working paper "Deriving variance of ANOVA-based estimator ${\hat{\sigma}}^2_M$ when using differing $n_k$, $1\leq{k}\leq{K}$", by Mohammed Shahid Abdulla and L Ramprasath, submitted 31 Mar 2019.

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Shahid Abdulla (2025). Variance of Var-of-CE estimator using ANOVA formula (https://it.mathworks.com/matlabcentral/fileexchange/71081-variance-of-var-of-ce-estimator-using-anova-formula), MATLAB Central File Exchange. Recuperato .

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Versione Pubblicato Note della release
1.2

Updated to adjust for centralized command-line script Coefficients_In_Var_Of_VarOfCE_Estimator.m that calculates closed-form variance of both n*- and n_k-based ANOVA estimator for Var-of-CE. Script mentioned is in MATLAB repository with like name.
1.1

Minor bug correction. Input parameters in file are taken from experiment in T. Goda, OR Letters, 45(1), 2017 - Experiment No. 1.
1.0.0