Publications

Authors:

Casarin, Roberto; Craiu, Radu V.; Frattarolo, Lorenzo; Robert, Christian P.

Title:

Living on the Edge: An Unified Approach to Antithetic Sampling

Year:

2024

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Format:

A Stampa

Referee:

Sì

Name of journal:

STATISTICAL SCIENCE

ISSN of journal:

0883-4237

N° Volume:

39

Number or Folder:

1

Page numbers:

115-136

Keyword:

Antithetic variables , countermonotonicity , Monte Carlo , Negative dependence , variance reduction

Short description of contents:

We identify recurrent ingredients in the antithetic sampling literature leading to a unified sampling framework. We introduce a new class of antithetic schemes that includes the most used antithetic proposals. This perspective enables the derivation of new properties of the sampling schemes: (i) optimality in the Kullback–Leibler sense; (ii) closed-form multivariate Kendall’s τ and Spearman’s ρ; (iii) ranking in concordance order and (iv) a central limit theorem that characterizes stochastic behaviour of Monte Carlo estimators when the sample size tends to infinity. The proposed simulation framework inherits the simplicity of the standard antithetic sampling method, requiring the definition of a set of reference points in the sampling space and the generation of uniform numbers on the segments joining the points. We provide applications to Monte Carlo integration and Markov Chain Monte Carlo Bayesian estimation.

Web page:

https://projecteuclid.org/journals/statistical-science/volume-39/issue-1/Living-on-the-Edge--An-Unified-Approach-to-Antithetic/10.1214/23-STS888.short

Product ID:

137900

Handle IRIS:

11562/1119726

Last Modified:

November 20, 2024

Bibliographic citation:

Casarin, Roberto; Craiu, Radu V.; Frattarolo, Lorenzo; Robert, Christian P., Living on the Edge: An Unified Approach to Antithetic Sampling «STATISTICAL SCIENCE» , vol. 39 , n. 1 , 2024 , pp. 115-136

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