Antithetic Variates Revisited.

Abstract

This paper extends earlier results in the area of variance reduction techniques applied to simulation on a computer. In particular, it views the antithetic sampling technique as a combination of rotation and reflection sampling on a circle. The covariance structures induced by the techniques separately and together are derived and conditions under which they are optimal sampling plans are described. Rates of convergence for the variance of the sample mean are given for bounded, continuous and discrete random variables and for unbounded continuous random variables with special, although commonly encountered, structure. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1980
Accession Number
ADA086114

Entities

People

  • Baosheng D. Huang
  • George S. Fishman

Organizations

  • University of North Carolina at Chapel Hill

Tags

DTIC Thesaurus Topics

  • Business Administration
  • Computational Science
  • Computer Science
  • Computer Simulations
  • Computers
  • Convex Programming
  • Distribution Functions
  • Estimators
  • Information Processing
  • Monte Carlo Method
  • New York
  • North Carolina
  • Operations Research
  • Random Variables
  • Simulations
  • Statistical Sampling
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Linear Algebra
  • Regression Analysis.
  • Theoretical Analysis.