This paper demonstrates that the logarithm of the variate itself can be used in the calculation of differential entropy among random variables known to be multiples and powers of a common underlying variate. It also presents a function that gives the entropy of these related variates, using only statistics of the logarithm of the variate plus a constant, regardless of the nature or the paramete...

The standard method for generating multi-t vectors is simple and convenient but it has the disadvantage that the generated multi-normal and multi-t vectors are not similar. For t-copula models this destroys much of the variance reduction when using the result of the multinormal model as external control variate. Therefore we develop a new generation method for multi-t vectors. It is based on th...

this paper presents an analytical view of variance reduction by control variate technique for pricing arithmetic asian options as a financial derivatives. in this paper, the effect of correlation between two random variables is shown. we propose an efficient method for choose suitable control in pricing arithmetic asian options based on the control variates (cv). the numerical experiment shows ...

In discrete event simulation (DES) models, stochastic behaviour is modelled by sampling random variates from probability distributions to determine outcomes. However, the distribution of outc...

We present a rejection method based on recursive covering of the probability density function with equal tiles. The concept works for any probability density function that is pointwise computable or representable by tabular data. By the implicit construction of piecewise constant majorizing and minorizing functions that are arbitrarily close to the density function the production of random vari...

Balanced repeated replication (BRR) is a popular method for variance estimation in surveys. The standard BRR method works by rst creating a set of \balanced" pseudo-replicated data sets from the original data set. For a survey estimator ^ , the BRR variance estimator is the average of squared deviations ^ (r) ? ^ , where ^ (r) is the same as ^ but based on the data in the rth pseudo-replicated ...

We provide a new version of our ziggurat method for generating a random variable from a given decreasing density. It is faster and simpler than the original, and will produce, for example, normal or exponential variates at the rate of 15 million per second with a C version on a 400MHz PC. It uses two tables, integers ki and reals wi. Some 99% of the time, the required x is produced by: Generate...