Problems of Variance Reduction in the Simulation of Random Variables

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.

LESSI Oliviero; 

1995-03-15

European Commission

JRC4853

EUR 11032 EN,   

https://publications.jrc.ec.europa.eu/repository/handle/JRC4853,