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Antithetic variates
Author(s) -
Gentle James E.
Publication year - 2009
Publication title -
wiley interdisciplinary reviews: computational statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.693
H-Index - 38
eISSN - 1939-0068
pISSN - 1939-5108
DOI - 10.1002/wics.9
Subject(s) - monte carlo method , random variate , control variates , variance (accounting) , statistics , mathematics , covariance , variance reduction , computer science , hybrid monte carlo , random variable , markov chain monte carlo , accounting , business
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. This article is categorized under: Algorithms and Computational Methods > Random Number Generation