Decomposition of some weil-known variance reduction techniques†
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 23 (3) , 183-209
- https://doi.org/10.1080/00949658608810871
Abstract
Proliferation of techniques and lack of unifying structure have hindred both study and application of variance reduction. We view any variance reduction technique (VRT) as a transformation from one experiment to another, which leads to an exhaustive taxonomy of VRTs. In this paper, seven familiar VRTs are expressed in our taxonomy as compositions of elemental transformations from six basic classes. Our objective is to use the reader's knowledge of these well-known techniques to illustrate the taxonomy.Keywords
This publication has 18 references indexed in Scilit:
- Variance reduction in queueing simulation using generalized concomitant variablesJournal of Statistical Computation and Simulation, 1984
- Antithetic variates revisitedCommunications of the ACM, 1983
- Variance Estimation Using Auxiliary InformationJournal of the American Statistical Association, 1983
- Variance reduction: The current stateMathematics and Computers in Simulation, 1983
- Proof of the antithetic-variates theorem for unbounded functionsMathematical Proceedings of the Cambridge Philosophical Society, 1979
- Bivariate Distributions with Given MarginalsThe Annals of Statistics, 1976
- Proof of the antithetic variates theorem for n > 2Mathematical Proceedings of the Cambridge Philosophical Society, 1958
- A Method for Increasing the Efficiency of Monte Carlo IntegrationJournal of the ACM, 1957
- General principles of antithetic variatesMathematical Proceedings of the Cambridge Philosophical Society, 1956
- A new Monte Carlo technique: antithetic variatesMathematical Proceedings of the Cambridge Philosophical Society, 1956