Living on the Edge: An Unified Approach to Antithetic Sampling

Living on the Edge: An Unified Approach to Antithetic Sampling

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) opti...

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Bibliographic Details
Main Authors: Casarin, Roberto, Craiu, Radu V, Frattarolo, Lorenzo, Robert, Christian P
Format: Journal Article
Language:English
Published: 28-10-2021
Subjects:
Statistics - Methodology
Online Access:Get full text
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Summary: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 $\tau$ and Spearman's $\rho$; iii)ranking in concordance order and iv) a central limit theorem that characterizes stochastic behavior of Monte Carlo estimators when the sample size tends to infinity. Finally, we provide applications to Monte Carlo integration and Markov Chain Monte Carlo Bayesian estimation.
DOI:10.48550/arxiv.2110.15124