𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Variance reduction: The current state

✍ Scribed by James R. Wilson

Book ID
103895539
Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
410 KB
Volume
25
Category
Article
ISSN
0378-4754

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✦ Synopsis

Estimation efficiency is an increasingly important issue in the design and analysis of large-scale simulation experiments. This paper surveys recent research on the major variance reduction techniques that have been developed for or adapted to Monte Carlo studies. Current unresolved problems and directions for future research are also discussed. 1.

πŸ“œ SIMILAR VOLUMES

Subsampling the Gibbs sampler: variance
Subsampling the Gibbs sampler: variance reduction
✍ Steven N. MacEachern; Mario Peruggia πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 99 KB

Subsampling the output of a Gibbs sampler in a non-systematic fashion can improve the e ciency of marginal estimators if the subsampling strategy is tied to the actual updates made. We illustrate this point by example, approximation, and asymptotics. The results hold both for random-scan and ΓΏxed-sc