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Control variates: Difference between revisions
→Underlying principle
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:<math>\rho_{m,t}=\textrm{Corr}\left(m,t\right) \, </math>
is the [[Pearson product-moment correlation coefficient|correlation coefficient]] of
In the case that <math>\textrm{Cov}\left(m,t\right)</math>, <math>\textrm{Var}\left(t\right)</math>, and/or <math>\rho_{m,t}\;</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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