Preliminary control variates to improve empirical regression methods

Ben Zineb Tarik () and Gobet Emmanuel ()
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Ben Zineb Tarik: Centre de Mathématiques Appliquées, Ecole Polytechnique and CNRS, 91128 Palaiseau Cedex, France
Gobet Emmanuel: Centre de Mathématiques Appliquées, Ecole Polytechnique and CNRS, 91128 Palaiseau Cedex, France

Monte Carlo Methods and Applications, 2013, vol. 19, issue 4, 331-354

Abstract: We design a variance reduction method to reduce the estimation error in regression problems. It is based on an appropriate use of other known regression functions. Theoretical estimates are supporting this improvement and numerical experiments are illustrating the efficiency of the method.

Keywords: Empirical regression; variance reduction; distribution-free theory (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1515/mcma-2013-0015

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