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 name="lemieux17">{{cite journal|last1= Lemieux |first1=C.|title=Control Variates|journal= Wiley StatsRef: Statistics Reference Online|date=2017|pages=1--8|doi= 10.1002/9781118445112.stat07947 }}</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==