Preliminary control variates to improve empirical regression methods

被引：7

作者：

Ben Zineb, Tarik ^{[1
,2
]}

Gobet, Emmanuel ^{[1
,2
]}

机构：

[1] Ecole Polytech, Ctr Math Appl, F-91128 Palaiseau, France

[2] CNRS, F-91128 Palaiseau, France

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2013年 / 19卷 / 04期

关键词：

Empirical regression; variance reduction; distribution-free theory;

D O I：

10.1515/mcma-2013-0015

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We design a variance reduction method to reduce the estimation error in regression problems. It is based on an appropriate use of other known regression functions. Theoretical estimates are supporting this improvement and numerical experiments are illustrating the efficiency of the method.

引用

页码：331 / 354

页数：24

共 14 条

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