NDLI: Stratified sampling in the simplex with applications to estimating statistical distributions

Content Provider	IEEE Xplore Digital Library
Author	Cheng, R.C.H. Davenport, T.R.
Copyright Year	1988
Description	Author affiliation: University of Wales, Cardiff (Cheng, R.C.H.)
Abstract	Many problems in statistics and operations research reduce to the evaluation of the distribution of a random variable, called the response, known to be a complicated function of a number, d say, of independent uniform variables. Monte Carlo estimation is often used for this purpose if the distribution is analytically intractable. Often the response possesses symmetry properties with respect to its arguments. It is then possible to restrict sampling to simplex regions of the sample space. This can be easily combined with stratified sampling to give variance reduction of order 0(d) compared with normal stratified sampling. The theory of such methods is discussed and a simple stratified sampling scheme is applied to two examples giving a two to five fold reduction in the variance.
Starting Page	540
Ending Page	545
File Size	498157
Page Count	6
File Format	PDF
ISBN	0911801421
DOI	10.1109/WSC.1988.716217
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1998-12-14
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Sampling methods Statistical distributions Testing Statistical analysis Operations research Monte Carlo methods Distribution functions Mathematics Random variables Maximum likelihood estimation
Content Type	Text
Resource Type	Article

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