A0617
Title: Living on the edge: A unified approach to antithetic sampling
Authors: Lorenzo Frattarolo - European Commission Joint Research Centre (JRC) (Italy) [presenting]
Roberto Casarin - University Ca' Foscari of Venice (Italy)
Radu Craiu - University of Toronto (Canada)
Christian Robert - Universite Paris-Dauphine (France)
Abstract: Recurrent ingredients in the antithetic sampling literature are identified which lead to a unified sampling framework. We introduce a new class of antithetic schemes that include 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. The proposed simulation framework inherits the simplicity of the standard antithetic sampling method, requiring the definition of a set of reference points in the sampling space and the generation of uniform numbers on the segments joining the points. We provide applications to Monte Carlo integration and Markov Chain Monte Carlo Bayesian estimation.
