Variance reduction by the use of common and antithetic random variables

DOI10.1080/00949658508810841zbMath0581.62100OpenAlexW2141154302MaRDI QIDQ3703168

Gennady Samorodnitsky, Reuven Y. Rubinstein

Publication date: 1985

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658508810841

zbMATH Keywords

reliabilityinventorynetworksvariance reductionqueueing systemsstochastic approximationsantithetic variatescommon random numbersresponse difference

Mathematics Subject Classification ID

Point estimation (62F10) Monte Carlo methods (65C05) Applications of statistics (62P99)

Related Items

Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo, Sensitivity estimates based on one realization of a stochastic system†, Simulation-based parameter estimation for complex models: a breast cancer natural history modelling illustration

Cites Work

• Bivariate distributions with given marginals
• Proof of the antithetic-variates theorem for unbounded functions
• Variance Reduction by Antithetic Variates in GI/G/1 Queuing Simulations
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item