Package dev.nm.stat.random.variancereduction

Interface Summary Interface Description ControlVariates.Estimator 
Class Summary Class Description AntitheticVariates The antithetic variates technique consists, for every sample path obtained, in taking its antithetic path  that is given a path \(\varepsilon_1,\dots,\varepsilon_M\) to also take, for example, \(\varepsilon_1,\dots,\varepsilon_M\) or \(1\varepsilon_1,\dots,1\varepsilon_M\).CommonRandomNumbers The common random numbers is a variance reduction technique to apply when we are comparing two random systems, e.g., \(E(f(X_1)  g(X_2))\).ControlVariates Control variates method is a variance reduction technique that exploits information about the errors in estimates of known quantities to reduce the error of an estimate of an unknown quantity.ImportanceSampling Importance sampling is a general technique for estimating properties of a particular distribution, while only having samples generated from a different distribution rather than the distribution of interest.