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Simultaneous Monte Carlo Zero-Variance Estimates of Several Correlated Means
Volume 129 · Number 2 · June 1998 · Pages 199-202
Technical Paper
Thomas E. Booth
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Zero-variance biasing procedures are normally associated with estimating a single mean or "tally." In particular, a zero-variance solution occurs when every sampling is made proportional to the product of the true probability multiplied by the expected score (importance) subsequent to the sampling; i.e., the zero-variance sampling is importance weighted. Because every tally has a different importance function, a zero-variance biasing for one tally cannot be a zero-variance biasing for another tally (unless the tallies are perfectly correlated). The way to optimize the situation when the required tallies have positive correlation is shown.
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