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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 183-209 |
| Number of pages | 27 |
| Journal | Journal of Statistical Computation and Simulation |
| Volume | 23 |
| Issue number | 3 |
| DOIs | |
| State | Published - Jan 1 1986 |
Funding
The Office of Naval Research provided partial support via contract N00014-79-C-0832. We thank James R. Wilson for both general discussions and specific suggestions that have improved this paper and clarified our thoughts. tResearch partially supported by Ofice of Naval Research contract N00014-79-C-0832.
Keywords
- Antithetic variates
- Monte Carlo
- common random numbers
- conditional expectations
- control variates
- importance sampling
- poststratified sampling
- simulation
- swindles
- variance reduction
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Statistics, Probability and Uncertainty
- Applied Mathematics