Control variates

The control variates method is a variance reduction technique used in Monte Carlo methods. It exploits information about the errors in estimates of known quantities to reduce the error of an estimate of an unknown quantity.[1] [2][3]

  1. ^ Lemieux, C. (2017). "Control Variates". Wiley StatsRef: Statistics Reference Online: 1–8. doi:10.1002/9781118445112.stat07947. ISBN 9781118445112.
  2. ^ Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering. New York: Springer. ISBN 0-387-00451-3 (p. 185)
  3. ^ Botev, Z.; Ridder, A. (2017). "Variance Reduction". Wiley StatsRef: Statistics Reference Online: 1–6. doi:10.1002/9781118445112.stat07975. ISBN 9781118445112.