Variance Reduction Using Nonlinear Controls and Transformations

DOI10.1080/03610918908812783MaRDI QIDQ3471495zbMATH OpenOpenAlexFDO

Authors Peter A. W. Lewis, Richard L. Ressler, R. Kevin Wood

Publication date 1989

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918908812783

zbMATH Keywords

ACEcorrelationleast-squares regressionnonlinear controlstransformationsvariance reduction

Mathematics Subject Classification ID

Point estimation (62F10) General nonlinear regression (62J02) Monte Carlo methods (65C05)

Recommendations

• Estimation of nonlinear simulation metamodels using control variates
• Control Variates for Monte Carlo Analysis of Nonlinear Statistical Models, I: Overview
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Cites work

• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Estimating Optimal Transformations for Multiple Regression and Correlation
• scientific article; zbMATH DE number 193976 (Why is no real title available?)
• Regenerative Simulation with Internal Controls

Cited in

(4)

• Opportunities of robust regression for variance reduction in discrete event simulation
• Variability reduction through operations reversal
• Variance reduction for quantile estimates in simulations via nonlinear controls
• Automatic variance control and variance estimation loops

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