Title: Problems of Variance Reduction in the Simulation of Random Variables
Authors: LESSI Oliviero
Publisher: European Commission
Publication Year: 1987
JRC Publication N°: JRC4853
Other Identifiers: EUR 11032 EN
URI: http://publications.jrc.ec.europa.eu/repository/handle/JRC4853
Type: EUR - Scientific and Technical Research Reports
Abstract: THE DEFINITION OF THE UNIFORM LINEAR GENERATOR IS GIVEN AND SOME OF THE MOSTLY USED TESTS TO EVALUATE THE UNFORMITY AND THE INDEPENDENCE OF THE OBTAINED DETERMINATIONS ARE LISTED. THE GENERATORS OF THE MAIN DISCRETE AND CONTINUOUS RANDOM VARIABLES ARE DEFINED. THE PROBLEM OF CALCULATING, THROUGH SIMULATION, SOME MOMENT W OF A RANDOM VARIABLE FUNCTION IS TAKEN INTO ACOCUNT. THE MONTE CARLO METHOD ENABLES THE MOMENT W TO BE ESTIMATED AND THE ESTIMATOR VARIANCE TO BE OBTAINED. SOME TECHNIQUES FOR THE CONSTRUCTION OF OTHER ESTIMATORS OF W WITH A REDUCED VARIANCE ARE INTRODUCED.
JRC Institute:Joint Research Centre Historical Collection

Files in This Item:
There are no files associated with this item.


Items in repository are protected by copyright, with all rights reserved, unless otherwise indicated.