Abstract
Standard Monte Carlo simulation needs prohibitive time to achieve reasonable estimations. for untractable integrals (i.e. multidimensional integrals and/or intergals with complex integrand forms). Several statistical technique, called variance reduction methods, are used to reduce the simulation time. In this note, we propose a generalization of the well known antithetic variate method. Principally we propose a $K$−antithetic variate estimator (KAVE) based on the generation of $K$ correlated uniform variates. Some numerical examples are presented to show the improvenment of our proposition.
Citation
Abdelaziz Nasroallah. "$K$-antithetic variates in Monte Carlo simulation." Afr. Stat. 3 (1) 144 - 155, 2008. https://doi.org/10.4314/afst.v3i1.46879
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