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The Use of Control Variates in Monte Carlo Estimation of Power
Author(s) -
Rothery P.
Publication year - 1982
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347974
Subject(s) - control variates , variance reduction , monte carlo method , random variate , statistic , variance (accounting) , computer science , statistics , reduction (mathematics) , sampling (signal processing) , importance sampling , mathematics , algorithm , random variable , hybrid monte carlo , markov chain monte carlo , geometry , accounting , filter (signal processing) , business , computer vision
S ummary The control variate technique for variance reduction is used in the estimation by computer simulation of the power of a non‐parametric test. Efficiency gains of as much as six were obtained for relatively small increases in computing time.