Antithetic Power Transformation in Monte Carlo Simulation: Correcting Hidden Errors in the Response Variable

Monte Carlo simulation is performed with uniformly distributed U(0,1) pseudo-random numbers. Because the numbers are generated from a mathematical formula, they will contain some serial correlation, even if very small. This serial correlation becomes embedded in the correlation structure of the resp...

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Bibliographic Details

Published in:	Mathematics
Main Authors:	Dennis Ridley, Pierre Ngnepieba
Format:	Article
Language:	English
Published:	MDPI AG 2023-04-01
Subjects:	inverse correlation variance reduction antithetic random variates simulation model bias bias reduction
Online Access:	https://www.mdpi.com/2227-7390/11/9/2097