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Technometrics Volume 29, 1987 - Issue 2
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Original Articles

Large Sample Properties of Simulations Using Latin Hypercube Sampling

Michael Stein Department of Statistics, University of Chicago, Chicago, IL, 60637
Pages 143-151 | Published online: 23 Mar 2012
 
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Abstract

Latin hypercube sampling (McKay, Conover, and Beckman 1979) is a method of sampling that can be used to produce input values for estimation of expectations of functions of output variables. The asymptotic variance of such an estimate is obtained. The estimate is also shown to be asymptotically normal. Asymptotically, the variance is less than that obtained using simple random sampling, with the degree of variance reduction depending on the degree of additivity in the function being integrated. A method for producing Latin hypercube samples when the components of the input variables are statistically dependent is also described. These techniques are applied to a simulation of the performance of a printer actuator.

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