Control variates: Difference between revisions
Undid revision 870859229 by 141.45.207.196 (talk)
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(Undid revision 870859229 by 141.45.207.196 (talk)) |
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The [[variance]] of the resulting estimator <math>m^{\star}</math> is
:<math>\textrm{Var}\left(m^{\star}\right)=\textrm{Var}\left(m\right) + c^2\,\textrm{Var}\left(t\right)
It can be shown that choosing the optimal coefficient
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