Variance reduction through negative correlation, a simulation study

A new method for reducing the variance in simalation experiments is presented and evaluated. The method can be regarded as an extension of the antithetic variates principle. We create negative correlation within all pairs of random number while the original mcihod creates correlation only within some pairs. Our method is compared to ihe antithetic variates and crude Monte-Carlo techniques by repeated simulations. The results obtained are ail in favour of our method.