A splitting scheme for control variates
type: Item
instance of: scholarly article
title: A splitting scheme for control variates
zbMATH Open document ID: 0811.62027
DOI: 10.1016/0167-6377(93)90069-S
author: Athanassios N. Avramidis
author: James R. Wilson
published in: Operations Research Letters
publication date: 1994-04-12T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62F99
zbMATH DE Number: 550407
zbMATH Keywords: variance reduction
zbMATH Keywords: control-variate estimator
zbMATH Keywords: expectation
zbMATH Keywords: splitting scheme
zbMATH Keywords: unbiased point estimator
zbMATH Keywords: unbiased variance estimator
zbMATH Keywords: asymptotically exact confidence interval
reviewed by: Walter Schlee
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 550407