Control variate method for stationary processes

DOI10.1016/J.JECONOM.2011.05.003MaRDI QIDQ738040zbMATH OpenOpenAlexFDO

Authors Tomoyuki Amano, Masanobu Taniguchi

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.05.003

zbMATH Keywords

stationary processesspectral density matrixcontrol variate methodnonparametric spectral estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations
• Control Variate Remedies
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Simulation Techniques in Financial Risk Management
• Time series. Data analysis and theory.

Cited in

(6)

• Sequential Control Variates for Functionals of Markov Processes
• Editorial. Moment restriction-based econometric methods: an overview
• A splitting scheme for control variates
• A control variate method driven by diffusion approximation
• Controlling bivariate categorical processes using scan rules
• Control Variates for the Metropolis–Hastings Algorithm

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