Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization

被引：0
|
作者：
D. V. Belomestny
L. S. Iosipoi
N. K. Zhivotovskiy
机构：
[1] National Research University Higher School of Economics,Faculty of Mechanics and Mathematics
[2] University of Duisburg-Essen,Institute for Information Transmission Problems
[3] Moscow State University,undefined
[4] Russian Academy of Sciences,undefined
来源：
Doklady Mathematics | 2018年 / 98卷
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摘要：
For Monte Carlo estimators, a variance reduction method based on empirical variance minimization in the class of functions with zero mean (control functions) is described. An upper bound for the efficiency of the method is obtained in terms of the properties of the functional class.
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页码：494 / 497
页数：3
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