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ANTITHETIC VARIABLES CONTROL VARIATES Variance Reduction Background the simulation error ANTITHETIC VARIABLES CONTROL VARIATES Variance Reduction Background the simulation error

ANTITHETIC VARIABLES CONTROL VARIATES Variance Reduction Background the simulation error - PDF document

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Uploaded On 2014-12-18

ANTITHETIC VARIABLES CONTROL VARIATES Variance Reduction Background the simulation error - PPT Presentation

Antithetic Variables Key idea if and are id RVs with mean Var Var Var 2 Cov X so variance is reduced if and have Cov X 0 For many simulations a estimator is U for some so consider the antithetic estimator 1 Combined estimator is 2 Notes a ID: 25746

Antithetic Variables Key idea

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