Kendall's advanced theory of statistics
Kendall's advanced theory of statistics
The art of simulation
A decomposition approach to variance reduction
WSC '85 Proceedings of the 17th conference on Winter simulation
WSC' 90 Proceedings of the 22nd conference on Winter simulation
Random samples with known sample statistics: With application to variance reduction
WSC '83 Proceedings of the 15th conference on Winter Simulation - Volume 2
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The method of antithetic variates is a well-known technique for reducing the variability of estimators in computer simulation experiments. However, the usually suggested way of using the method, if incorrectly applied, can lead to an increase in the variance of estimators of certain quantities, such as percentiles. A procedure, based on two non-standard methods of generating samples from the normal distribution, is suggested which does not suffer this weakness. Numerical examples are given showing the ease of implementation and the effectiveness of the procedure.