| Package | Description |
|---|---|
| dev.nm.stat.random.variancereduction |
| Modifier and Type | Class and Description |
|---|---|
class |
AntitheticVariates
The antithetic variates technique consists, for every sample path obtained,
in taking its antithetic path - that is given a path
\(\varepsilon_1,\dots,\varepsilon_M\) to also take, for
example, \(-\varepsilon_1,\dots,-\varepsilon_M\) or
\(1-\varepsilon_1,\dots,1-\varepsilon_M\).
|
class |
CommonRandomNumbers
The common random numbers is a variance reduction technique to apply when we
are comparing two random systems, e.g., \(E(f(X_1) - g(X_2))\).
|
class |
ControlVariates
Control variates method is a variance reduction technique that exploits
information about the errors in estimates of known quantities to reduce the
error of an estimate of an unknown quantity.
|
class |
ImportanceSampling
Importance sampling is a general technique for estimating properties of a
particular distribution, while only having samples generated from a different
distribution rather than the distribution of interest.
|
Copyright © 2010-2026 NM Group. All Rights Reserved.