Control variates: Difference between revisions

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hence, the term [[variance reduction]]. The greater the value of <math>\vert\rho_{tmmt}\vert</math>, the greater the variance reduction achieved.
In the case that <math>\sigma_m</math>, <math>\sigma_t</math>, and/or <math>\rho_{mt}</math> are unknown, they can be estimated across the Monte Carlo replicates. This is equivalent to solving a certain [[least squares]] system; therefore this technique is also known as '''regression sampling'''.
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