Monte Carlo integration with a growing number of control variates

DOI10.1017/jpr.2019.78zbMath1427.60048arXiv1801.01797OpenAlexW2995883131MaRDI QIDQ5205948

François Portier, Johan Segers

Publication date: 17 December 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.01797

zbMATH Keywords

central limit theoremLegendre polynomialpost-stratificationordinary least squaresmultiple linear regressioncontrol variates

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

Related Items (6)

Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization ⋮ Risk bounds when learning infinitely many response functions by ordinary linear regression ⋮ Correlations between random projections and the bivariate normal ⋮ Automatic control variates for option pricing using neural networks ⋮ Control variate selection for Monte Carlo integration ⋮ Indirect inference for time series using the empirical characteristic function and control variates

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