Monte Carlo Particle Transport Methods: Neutron and Photon - gnssn

41.1This means that if we use the knowledge that the sample covariance matrix is diagonal, theestimated variance of the sample mean will be smaller than if we take into account the(usually nonzero) off-diagonal elements of the empirical covariance matrix.S.C. ESTIMATION OF A COMMON MEAN FMOM RARE SETSConsider a simulation procedure in which only rare but important events cothe score. Then the final score in a history is zero with a high probability annonzero value with a low probability. It is felt that mechanical use of the laistatistical formulas in Section A will very likely yield unreliable estimates of botland the variance. This is so because the distribution of the scores is far from Gau v