ANTITHETIC VARIATES FOR MONTE CARLO ESTIMATION OF PROBABILITIES

DOI10.1111/J.1467-9574.1984.TB01099.XMaRDI QIDQ5896504zbMATH OpenOpenAlexFDO

Authors Tom A. B. Snijders

Publication date 1984

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1984.tb01099.x

zbMATH Keywords

antithetic variateschange-point testestimation of probabilitiesrank teststatistical testsvariance reductionWilcoxon test

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Antithetic variates revisited
• K-antithetic variates in Monte Carlo simulation
• Variance reduction by the use of common and antithetic random variables
• Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems
• A farewell to the use of antithetic variates in Monte Carlo simulation

Cites work

• A class of dependent random variables and their maxima
• A Non-Parametric Approach to the Change-Point Problem
• Bivariate distributions with given marginals
• scientific article; zbMATH DE number 3551712 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• On a class of extremal problems in statistics
• Solution of a statistical optimization problem by rearrangement methods

Cited in

(5)

• Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
• Estimating probabilities from invariant permutation distributions
• Efficient bootstrap methods: A review
• K-antithetic variates in Monte Carlo simulation
• Controlling antithetic variates

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