Control variates: Difference between revisions

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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.<ref>Glasserman, P. (2004). Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (1 ed.). New York: Springer., p. 185.</ref>
In [[Monte Carlo methods]], one or more '''control variates''' may be employed to achieve [[variance reduction]] by exploiting the [[correlation]] between statistics.
==Underlying Principle==
:* [[Variance reduction]]
:* [[Antithetic variates]]
* Ross, Sheldon M. ''Simulation'' 3rd edition ISBN 978-0125980531