Abstract

We develop a variance reduction technique applicable in one simulation experiment whose purpose is to estimate the parameters of a first order linear model. This method utilizes the control variates obtained during the course of simulation run under Schruben and Margolin's method (S-M method). The performance of this method is shown to be similar in estimating the main effects, and to be superior to S-M method in estimating the overall mean response in a given model. We consider that a proposed method may yield a better result than S-M method if selected control variates are highly correlated with the response at each design point.

Keywords

• Common Random Numbers;
• Antithetic Variates;
• Control Variates;
• Variance Reduction Techniques;
• Simulation Efficiency