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antithetic sampling

 
 
omri5
 
Reply Fri 19 May, 2017 07:23 am
i want to proof the following by indication:

If the function h1 and h2 are monotone increasing in each
variable,and x=(x1,...,xn) are Random variable iid
than
Cov(h1(x),h2(x)) > 0
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ekename
 
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Reply Fri 19 May, 2017 09:51 pm
@omri5,
"It is generally taken for granted that the covariance of two increasing functions
of a random variable is positive. The present paper contains an elementary
proof of this fact."

http://www.math.tu-dresden.de/sto/schmidt/dsvm/dsvm2003-4.pdf
omri5
 
  1  
Reply Sat 20 May, 2017 03:05 am
@ekename,
thank you!
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