Coupled Samples in Simulation

Luc Devroye
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Luc Devroye: McGill University, Montreal, Canada

Operations Research, 1990, vol. 38, issue 1, 115-126

Abstract: Assume that we wish to generate two samples of n independent identically distributed random variables, ( X 1 ,…, X n ) and ( Y 1 ,…, Y n ), where X 1 and Y 1 have densities f and g , respectively. If these samples are used in a simulation, and f is close to g , it is sometimes desirable to have close simulation results. This can be achieved by insisting that both samples agree in most of their components, that is, X i = Y i for as many i as possible under the given distributional constraints. Samples with this property are said to be optimally coupled. In this paper, we propose and study various methods of coupling two samples, a sequence of samples and an infinite family of samples.

Keywords: probability: Kolmogorov entropy; simulation; random variable generation: generating dependent samples; statistics; correlation: coupled samples (search for similar items in EconPapers)
Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:38:y:1990:i:1:p:115-126

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