A note on variance reduction

Alain Berlinet

Statistics & Probability Letters, 1995, vol. 25, issue 4, 357-360

Abstract: A transformation [phi] defined on a subset E of the real line and taking real values reduces the variance if and only if [phi] is Lipschitz continuous on E with constant equal to one. This result provides a general method to compare the variance of two random variables.

Keywords: Variance; reduction; Nonparametric; density; estimation; Central; limit; theorem; Histogram; estimate (search for similar items in EconPapers)
Date: 1995
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