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Regular version of the site

Article

Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization

Doklady Mathematics. 2018. Vol. 98. No. 2. P. 494-497.
Belomestny D., Iosipoi L., Zhivotovskiy N.

For Monte Carlo estimators, a variance reduction method based on empirical variance minimization in the class of functions with zero mean (control functions) is described. An upper bound for the efficiency of the method is obtained in terms of the properties of the functional class.