Control variates: Difference between revisions
→Example
:<math>\textrm{var}\left[m^{\star}\right]=\left(1\rho_{mt}^2\right)\textrm{var}\left[m\right]</math>;
hence, the term [[variance reduction]]. The greater the value of <math>\vert\rho_{
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'''.
