Densities for random balanced sampling

DOI10.1016/J.JMVA.2006.01.007MaRDI QIDQ864273zbMATH OpenOpenAlexFDO

Authors Peter Bubenik, John Holbrook

Publication date 13 February 2007

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0608737

zbMATH Keywords

Monte Carlofractal geometryantithetic variatesdensities on polytopessampling methodology

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Inference from stochastic processes (62M99) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: A random balanced sample (RBS) is a multivariate distribution with n components X_1,...,X_n, each uniformly distributed on [-1, 1], such that the sum of these components is precisely 0. The corresponding vectors X lie in an (n-1)-dimensional polytope M(n). We present new methods for the construction of such RBS via densities over M(n) and these apply for arbitrary n. While simple densities had been known previously for small values of n (namely 2,3 and 4), for larger n the known distributions with large support were fractal distributions (with fractal dimension asymptotic to n as n approaches infinity). Applications of RBS distributions include sampling with antithetic coupling to reduce variance, and the isolation of nonlinearities. We also show that the previously known densities (for n<5) are in fact the only solutions in a natural and very large class of potential RBS densities. This finding clarifies the need for new methods, such as those presented here.

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Cites work

• scientific article; zbMATH DE number 3119649 (Why is no real title available?)
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Cited in

(3)

• Drawing a random sample from a density selected at random
• On the properties of reachability, observability, controllability, and constructibility of discrete-time positive time-invariant linear systems with aperiodic choice of the sampling instants
• Living on the edge: an unified approach to antithetic sampling

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