Version of Record online: 13 JUL 2009
Copyright © 2009 John Wiley & Sons, Inc.
Wiley Interdisciplinary Reviews: Computational Statistics
Volume 1, Issue 1, pages 114–117, July/August 2009
How to Cite
Gentle, J. E. (2009), Antithetic variates. WIREs Comp Stat, 1: 114–117. doi: 10.1002/wics.9
- Issue online: 13 JUL 2009
- Version of Record online: 13 JUL 2009
Antithetic variates are used to reduce the experimental error in Monte Carlo experiments. Monte Carlo experiments use random numbers as the fundamental experimental units. The basic idea in antithetic variates is to introduce experimental units that are negatively correlated with other experimental units. The variance of the mean of two such units is the mean of their individual variances plus their negative covariance. Copyright © 2009 John Wiley & Sons, Inc.
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