Package dev.nm.stat.random.variancereduction

Interface Summary

Interface	Description
ControlVariates.Estimator

Class Summary

Class	Description
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 \(1-\varepsilon_1,\dots,1-\varepsilon_M\).
CommonRandomNumbers	The common random numbers is a variance reduction technique to apply when we are comparing two random systems, e.g., \(E(f(X_1) - g(X_2))\).
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.
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.