Common random numbers in multivariate simulations

DOI10.1016/0377-2217(90)90378-OMaRDI QIDQ2640337zbMATH OpenOpenAlexFDO

Authors Brian J. Sloan, Antony Unwin

Publication date 1990

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(90)90378-o

zbMATH Keywords

variance reductionmultivariate statisticsconfidence regionreduction methodCommon random numbersmultivariate simulations

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99) Parametric tolerance and confidence regions (62F25) Analysis of variance and covariance (ANOVA) (62J10)

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Cites work

• scientific article; zbMATH DE number 4024487 (Why is no real title available?)
• scientific article; zbMATH DE number 3770836 (Why is no real title available?)
• scientific article; zbMATH DE number 3781344 (Why is no real title available?)
• scientific article; zbMATH DE number 3787821 (Why is no real title available?)
• scientific article; zbMATH DE number 3495530 (Why is no real title available?)
• Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Pseudorandom Number Assignment in Statistically Designed Simulation and Distribution Sampling Experiments

Cited in

(4)

• Some Guidelines and Guarantees for Common Random Numbers
• Stochastic ceteris paribus simulations
• Using Common Random Numbers and Control Variates in Multiple-Comparison Procedures
• On the optimality and efficiency of common random numbers

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