Variance Reduction Through Negative Correlation, a Simulation Study

Journal of Statistical Computation and Simulation

Volumn 15, Issue 2-3, 1982, Pages 119-127

  Arvidsen, Nils I ^a   Johnsson, Tommy ^a  

^a UNIVERSITY OF GOTHENBURG   (Sweden)

Author keywords

antithetic variate; negative correlation; Simulation; variance reduction

Indexed keywords

EID: 22944464430     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949658208810575     Document Type: Article

References (6)

1. Andréasson, I. J. (1971). On the generation of negatively correlated random numbers, Rapport 71.32. Inst. för inf. beh. Tekn. Hogsk., Stockholm.
2. Blomqvist, N. (1972). A note on the minimum correlation between two random numbers, Research Report 1972:5. Department of Statistics, University of Göteborg.
3. Hammerslcy, J. M. and Handscomb, D. C. (1964). Monte Carlo Methods. Chapman and Hall, London.
4. Hammersley, J. M. and Morton, K. W. (1956). A new Monte Carlo technique: antithetic variates. Proc. Camb. phil. Sac. 52, 449–475.
5. Lehmann, E. L. (1966). Some concepts of dependence, Ann. Math. Stat. 37, 1138.
6. Moran, P. A. P. (1967). Testing for correlation between non-negative variates, Biometrica 54, 385–394.