Sciweavers

Share
WSC
2007

Derivative estimation with known control-variate variances

7 years 1 months ago
Derivative estimation with known control-variate variances
We investigate the conception that the sample variance of the control variate (CV) should be used for estimating the optimal linear CV weight, even when the CV variance is known. A mixed estimator, which uses an estimate of the correlation of the performance measure (Y) and the control (X) is evaluated. Results indicate that the mixed estimator has most potential benefit when no information on the correlation of X and Y is available, especially when sample sizes are small. This work is presented in terms of CV for familiarity, but its primary application is in derivative estimation. In this context, unlike CV, X and Y are not assumed to be correlated.
Jamie R. Wieland, Bruce W. Schmeiser
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Jamie R. Wieland, Bruce W. Schmeiser
Comments (0)
books