Control variates: Difference between revisions

added recent reference
(added recent reference)
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 name="lemieux17">Glasserman,{{cite P.journal|last1= (2004). ''Monte CarloLemieux Methods in Financial Engineering''|first1=C.|title=Control Variates|journal= NewWiley YorkStatsRef: Springer.Statistics {{ISBNReference Online|date=2017|0pages=1-387-00451-3}}8|doi= (p10.1002/9781118445112.stat07947 185)}}</ref>
<ref>Glasserman, P. (2004). ''Monte Carlo Methods in Financial Engineering''. New York: Springer. {{ISBN|0-387-00451-3}} (p. 185)</ref> <ref name="varred17">{{cite journal|last1=Botev|first1=Z.|last2=Ridder|first2=A.|title=Variance Reduction|journal= Wiley StatsRef: Statistics Reference Online|date=2017|pages=1--6|doi=10.1002/9781118445112.stat07975}}</ref>
 
==Underlying principle==
Anonymous user