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Coupled Samples in Simulation

Author

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  • Luc Devroye

    (McGill University, Montreal, Canada)

Abstract

Assume that we wish to generate two samples of n independent identically distributed random variables, ( X 1 ,…, X n ) and ( Y 1 ,…, Y n ), where X 1 and Y 1 have densities f and g , respectively. If these samples are used in a simulation, and f is close to g , it is sometimes desirable to have close simulation results. This can be achieved by insisting that both samples agree in most of their components, that is, X i = Y i for as many i as possible under the given distributional constraints. Samples with this property are said to be optimally coupled. In this paper, we propose and study various methods of coupling two samples, a sequence of samples and an infinite family of samples.

Suggested Citation

  • Luc Devroye, 1990. "Coupled Samples in Simulation," Operations Research, INFORMS, vol. 38(1), pages 115-126, February.
    • Handle: RePEc:inm:oropre:v:38:y:1990:i:1:p:115-126
    DOI: 10.1287/opre.38.1.115
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