ANVILS-VOCE to estimate Variance of Conditional Expectation

ANVILS-VOCE stands for 'ANOVA with Varying Inner Loop Size used to estimate Variance of Conditional Expectation'. IIM Kozhikode

ANVILS-VOCE varies the inner-loop size n* when ANOVA is used to estimate Variance of Conditional Expectation. Keeping the inner-loop size fixed to an estimate of n* is the method proposed in Sun-Apley-Staum (2011). However, this estimate is calculated using a pilot simulation and the simulation budget used for this does not contribute to VOCE estimation per se. Our method, in both Naive and regular variants, improves the estimate of n* and plugs it in during each stage of the simulation, without discarding any portion of the budget. This program is companion work for an upcoming IIMK Working Paper titled ANVILS-VOCE. Run using MATLAB command in commented Line 15 of uploaded file.