Abstract
A unifying perspective on variance reduction is presented that emphasizes broadly defined variance reduction strategies rather than specific variance reduction techniques (VRTs). The perspective is based on a new taxonomy of VRTs, which is reviewed in detail. The variance reduction problem is formulated as a constrained optimization problem, and results that guarantee the effectiveness of variance reduction strategies are summarized.
Original language | English (US) |
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Pages (from-to) | 385-426 |
Number of pages | 42 |
Journal | Communications in Statistics - Simulation and Computation |
Volume | 16 |
Issue number | 2 |
DOIs | |
State | Published - Jan 1 1987 |
Keywords
- Latin hypercube sampling
- Monte Carlo
- Russian roulette
- antithetic variates
- common random numbers
- conditional expectations
- control variates
- generalized semi-Markov process
- importance sampling
- indirect estimators
- poststratifying the sample
- sampling
- simulation
- splitting
- stratified sampling
- swindle
- systematic sampling
- variance reduction
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation