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

Common random numbersconfidence regionmultivariate simulationsmultivariate statisticsreduction methodvariance reduction

Mathematics Subject Classification ID

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

Review text

Common random numbers (CRN) is a reduction method used in simulation which has the purpose of reducing the variance of the estimator of a system parameter without increasing the bias. The point is that the systems should be compared under similar experimental conditions so that any observed differences will be due to differences in the structures. The aim of this paper is to generalize the technique of CRN for use in multivariate simulations. The conclusion is that the use of CRN can lead to a substantial reduction in the size of a confidence region and this reduction is the greatest one when the covariance structure is the same for both systems.

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• Some Guidelines and Guarantees for Common Random Numbers
• Variance reduction by the use of common and antithetic random variables
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Cites work

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

Cited in

(4)

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

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