5. Variance Reduction

  1. Brian D. Ripley

Published Online: 27 MAY 2008

DOI: 10.1002/9780470316726.ch5

Stochastic Simulation

Stochastic Simulation

How to Cite

Ripley, B. D. (1987) Variance Reduction, in Stochastic Simulation, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470316726.ch5

Author Information

  1. Professor of Statistics, University of Strathclyde, Glasgow, Scotland

Publication History

  1. Published Online: 27 MAY 2008
  2. Published Print: 21 JAN 1987

ISBN Information

Print ISBN: 9780471818847

Online ISBN: 9780470316726

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Keywords:

  • variance reduction;
  • simulation experiment;
  • statistical variation;
  • sampling theory;
  • control variates

Summary

The prelims comprise:

  • Monte-Carlo Integration

  • Importance Sampling

  • Control and Antithetic Variates

  • Conditioning

  • Experimental Design