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Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus; Calzolari, Giorgio; Röhl, Michael Claus - 1999

Persistent link: https://www.econbiz.de/10009789908

Subsampling and other considerations for efficient risk estimation in large portfolios

Giles, Michael B.; Haji-Ali, Abdul-Lateef - In: The journal of computational finance 26 (2022) 1, pp. 113-140

Persistent link: https://www.econbiz.de/10014546280

Control Variates for Quantile Estimation

Hsu, Jason C.; Nelson, Barry L. - In: Management Science 36 (1990) 7, pp. 835-851

New point and interval estimators for quantiles that employ a control variate are introduced. The properties of these estimators do not depend on the usual assumption of joint normality between the random variable of interest and the control. Illustrative examples for queueing and stochastic...

Persistent link: https://www.econbiz.de/10009191658

Strategies for Combining Antithetic Variates and Control Variates in Designed Simulation Experiments

Kwon, Chimyung; Tew, Jeffrey D. - In: Management Science 40 (1994) 8, pp. 1021-1034

control variates to estimate the mean response in a designed simulation experiment. In Combined Method I, we perform h … independent pairs of simulation runs as follows---on the second run of each such pair, we use random number streams that are … simulation model; and we use independent random number streams to drive the control-variate components of the simulation model …

Persistent link: https://www.econbiz.de/10009191781

Control Variates for Probability and Quantile Estimation

Hesterberg, Timothy C.; Nelson, Barry L. - In: Management Science 44 (1998) 9, pp. 1295-1312

new estimators for use in simulation experiments designed to estimate such quantiles or probabilities of system …

Persistent link: https://www.econbiz.de/10009197501

Indirect inference for time series using the empirical characteristic function and control variates

Davis, Richard A.; do Rêgo Sousa, Thiago; … - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 653-684

, moment conditions, and smoothness of the simulated blocks with respect to its parameter. In a simulation study we show the … good performance of these new simulation based estimators, and the superiority of the control variates based estimator for …

Persistent link: https://www.econbiz.de/10012621813

Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus; Calzolari, Giorgio; Röhl, Michael C. - 1999

In this paper, control variates are proposed to speed up Monte Carlo Simulations to estimate expected error rates in multivariate classification.

Persistent link: https://www.econbiz.de/10010316538

An effective hybrid variance reduction method for pricing the Asian options and its variants

Lu, King-Jeng; Liang, Chiung-Ju; Hsieh, Ming-Hua; Lee, … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012659091

Variance reduction techniques in stochastic shortest route analysis: application procedures and results

Grant, Floyd H.; Solberg, James J. - In: Mathematics and Computers in Simulation (MATCOM) 25 (1983) 4, pp. 366-375

Variance reduction techniques are of much interest to simulation practitioners. However, they typically present … technique guarantees a reduction in variance of the estimates obtained over direct simulation. We also provide extensive …

Persistent link: https://www.econbiz.de/10010749750

Multivariate Batch Means and Control Variates

Yang, Wei-Ning; Nelson, Barry L. - In: Management Science 38 (1992) 10, pp. 1415-1431

We consider applying the nonoverlapping batch means output analysis method in conjunction with the control-variate variance-reduction technique to estimate a steady-state multivariate mean vector. The effects of the number of batches and the number of control variates on the multivariate point...

Persistent link: https://www.econbiz.de/10009203978

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