Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/189106 
Erscheinungsjahr: 
1990
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 781
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
Methods based on linear regression provide a very easy way to use the information in control and antithetic variates to improve the efficiency with which certain features of the distributions of estimators and test statistics are estimated in Monte Carlo experiments. We propose a new technique that allows these methods to be used when the quantities of interest are quantiles. Ways to obtain approximately optimal control variates in many cases of interest are also proposed. These methods seem to work well in practice, and can greatly reduce the number of replications required to obtain a given level of accuracy.
Dokumentart: 
Working Paper

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