3

common random numbers, antithetic variates, and control variates are all variance deduction methods.

From their Wikipedia articles, it seems to me that they are all used when estimating some quantity of two distributions, and they reduce variance of estimators by controlling the covariance between the random variables of the two distributions.

So I wonder what the differences and relations are between common random numbers, antithetic variates, and control variates?

Thanks!


Tim
  • 19,445

0 Answers0