article
Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code
Technometrics · 1979 · Vol. 21(2) · pp. 239–245
Michael D. McKay✉(Los Alamos National Laboratory)Richard J. Beckman(Los Alamos National Laboratory)W. J. Conover(Texas Tech University)
Abstract
Two types of sampling plans are examined as alternatives to simple random sampling in Monte Carlo studies. These plans are shown to be improvements over simple random sampling with respect to variance for a class of estimators which includes the sample mean and the empirical distribution function.
Probability and Risk ModelsStatistical Distribution Estimation and ApplicationsFinancial Risk and Volatility ModelingSimple random sampleEstimatorStatisticsMonte Carlo methodMathematicsSampling (signal processing)Sampling designVariance (accounting)Importance samplingSimple (philosophy)
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