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arXiv · 2110.15124

Living on the Edge: An Unified Approach to Antithetic Sampling

Roberto Casarin·Radu V. Craiu·Lorenzo Frattarolo·Christian P. Robert
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Abstract

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.

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Roberto Casarin, Radu V. Craiu, Lorenzo Frattarolo, Christian P. Robert. 2021-10-28. Living on the Edge: An Unified Approach to Antithetic Sampling. https://arxiv.org/abs/2110.15124

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