Use of Wilcoxon Test Theory in Estimating the Distribution of a Ratio by Monte Carlo Methods
Moses, Lincoln E.
Ann. Math. Statist., Tome 33 (1962) no. 4, p. 1194-1197 / Harvested from Project Euclid
If $r = x/y$ is the ratio of two independent continuous positive random variables, its distribution can be estimated by generating random samples from the distribution of $x$ and $y$, and then proceeding in various ways. It is shown, using well-known results in the theory of Wilcoxon's test that the uniformly minimum variance unbiased estimate of $H(A) = P(r \leqq A)$ is obtained by computing Wilcoxon's statistic for the random variables $u_i = x_i, v_i = Ay_i(i = 1, \cdots, N)$. The variance of the estimate of $H(A)$ is readily estimated. The computations required by this approach are more arduous than those needed to estimate $H(A)$ from the quantities $r_i = x_i/y_i$, but may be worthwhile where the major part of the computations lies in generating the $x_i$ and $y_i$. Extension of the reasoning leads to choosing different numbers of $x$'s and $y$'s if they are of different complexity to generate. Further, if the distribution of one of the quantities $x$ or $y$ is known then an effectivity infinite sample from that population is already available and the distribution of $r$ can be estimated by sampling only the variable with unknown distribution, which may (or may not) result in economy of effort.
Publié le : 1962-09-14
Classification: 
@article{1177704483,
     author = {Moses, Lincoln E.},
     title = {Use of Wilcoxon Test Theory in Estimating the Distribution of a Ratio by Monte Carlo Methods},
     journal = {Ann. Math. Statist.},
     volume = {33},
     number = {4},
     year = {1962},
     pages = { 1194-1197},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177704483}
}
Moses, Lincoln E. Use of Wilcoxon Test Theory in Estimating the Distribution of a Ratio by Monte Carlo Methods. Ann. Math. Statist., Tome 33 (1962) no. 4, pp.  1194-1197. http://gdmltest.u-ga.fr/item/1177704483/