Monte Carlo integration with a growing number of control variates
From MaRDI portal
Publication:5205948
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
central limit theoremLegendre polynomialpost-stratificationordinary least squaresmultiple linear regressioncontrol variates
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Integral approximation by kernel smoothing
- Convergence rates and asymptotic normality for series estimators
- Convergence rates for a class of estimators based on Stein's method
- On the weak convergence of the empirical conditional copula under a simplifying assumption
- Control variate selection for Monte Carlo integration
- Monte Carlo with determinantal point processes
- Control Variates for Probability and Quantile Estimation
- Some Results on the Complexity of Numerical Integration
- Solving BSDE with Adaptive Control Variate
- Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
- Efficient Computing of Regression Diagnostics
- Nonparametric Importance Sampling
- Safe and Effective Importance Sampling
- Large Sample Properties of Weighted Monte Carlo Estimators
- On the convergence rates of Legendre approximation
- Control Functionals for Monte Carlo Integration
- Probability
- Robust Statistics
This page was built for publication: Monte Carlo integration with a growing number of control variates