In this lecture, we wrap up our discussion of Variance Reduction Techniques. We introduced Common Random Numbers (CRNs) last time, which we review in this lecture. We then introduce Control Variates (CVs), Antithetic Variates (AVs), and Importance Sampling. These four methods are all examples of amplifying signals in a statistical experiment either by manipulating the simulation execution or using information about known sources of variance to increase statistical power.
Archived lectures from undergraduate course on stochastic simulation given at Arizona State University by Ted Pavlic
Tuesday, November 23, 2021
Lecture K2 (2021-11-23): Variance Reduction Techniques, Part 2
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Tempe, AZ, USA
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