Efficiency improvement and variance reduction

Abstract

Gives an overview of the main techniques for improving the statistical efficiency of simulation estimators. Efficiency improvement is typically (but not always) achieved through variance reduction. We discuss methods such as common random numbers, antithetic variates, control variates, importance sampling, conditional Monte Carlo, stratified sampling, and some others, as well as the combination of certain of those methods. We also survey the recent literature on this topic.

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