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dc.contributor.authorSzechtman, Roberto
dc.contributor.authorGlynn, Peter W.
dc.date2002
dc.date.accessioned2014-01-22T20:25:53Z
dc.date.available2014-01-22T20:25:53Z
dc.date.issued2002
dc.identifier.citation2002. Some New Perspectives on the Method of Control Variates. Monte Carlo and Quasi-Monte Carlo Methods 2000 (edited by K.T. Fang, F.J.Hickernell, and H. Niederreiter ), Springer-Verlag, Berlin , pp 27-49. (With P.W. Glynn)
dc.identifier.urihttp://hdl.handle.net/10945/38437
dc.descriptionMonte Carlo and Quasi-Monte Carlo Methods 2000en_US
dc.description.abstractThe method of control variates is one of the most widely used variance reduction techniques associated with Monte Carlo simulation. This paper studies the method of control variates from several different viewpoints, and establishes new connections between the method of control variates and: conditional Monte Carlo, antithetics, rotation sampling, stratification, and nonparametric maximum likelihood. We also develop limit theory for the method of control variates under weak assumptions on the estimator of the optimal control coefficient.en_US
dc.rightsThis publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.en_US
dc.titleSome New Perspectives on the Method of Control Variatesen_US
dc.contributor.departmentDepartment of Management Science and Engineering


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