Multiprocess parallel antithetic coupling for backward and forward Markov Chain Monte Carlo
نویسندگان
چکیده
منابع مشابه
Multi-process Parallel Antithetic Coupling For Backward and Forward Markov Chain Monte Carlo
Antithetic coupling is a general stratification strategy for reducing Monte Carlo variance without increasing the simulation size. The use of the antithetic principle in the Monte Carlo literature typically employs two strata via antithetic quantile coupling. We demonstrate here that further stratification, obtained by using k > 2 (e.g., k = 3 − 10) antithetically coupled variates, can offer su...
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Antithetic coupling is a general stratification strategy for reducing Monte Carlo variance without increasing the simulation size. The use of the antithetic principle in the Monte Carlo literature typically employs two strata via antithetic quantile coupling. We demonstrate here that further stratification, obtained by using k > 2 (e.g., k = 3–10) antithetically coupled variates, can offer subs...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2005
ISSN: 0090-5364
DOI: 10.1214/009053604000001075