A splitting scheme for control variates
The authors give a new control-variate estimator of an unknown expectation parameter \(\theta\). A new proposed splitting scheme lacks the shortcomings of other well known procedures given in the earlier literature. The present results are an unbiased point estimator of \(\theta\), an unbiased variance estimator and an asymptotically exact confidence interval for \(\theta\). Furthermore, analytical and empirical performance of this scheme is compared with other control-variate procedures.
asymptotically exact confidence interval
scientific article; zbMATH DE number 550407
scientific article