Common random numbers in multivariate simulations

DOI10.1016/0377-2217(90)90378-OzbMath0719.65099OpenAlexW1973244530MaRDI QIDQ2640337

Brian J. Sloan, Antony Unwin

Publication date: 1990

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(90)90378-o

zbMATH Keywords

confidence regionmultivariate statisticsvariance reductionreduction methodCommon random numbersmultivariate simulations

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Random number generation in numerical analysis (65C10) Analysis of variance and covariance (ANOVA) (62J10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Pseudorandom Number Assignment in Statistically Designed Simulation and Distribution Sampling Experiments

This page was built for publication: Common random numbers in multivariate simulations