Computer Simulation Swindles, with Applications to Estimates of Location and Dispersion

Gary Simon

Journal of the Royal Statistical Society Series C, 1976, vol. 25, issue 3, 266-274

Abstract: The notion of swindling to reduce the variances of simulation‐estimated quantities is discussed. A summary of variance‐reduction techniques is provided. Applications are given to the problems of appraising estimates of either location or dispersion in univariate samples, exploiting a normal‐over‐independent decomposition of the samples. Methods are also given for estimating the variance reductions achieved by swindles.

Date: 1976
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