Control variates: Difference between revisions

Undid revision 870859229 by 141.45.207.196 (talk)
(Undid revision 870865497 by 141.45.207.196 (talk))
(Undid revision 870859229 by 141.45.207.196 (talk))
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) -+ 2c\,\textrm{Cov}\left(m,t\right).</math>
 
It can be shown that choosing the optimal coefficient
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