Search Results - subject:"Control Variates"

Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus; Calzolari, Giorgio; Röhl, Michael C. - Institut für Wirtschafts- und Sozialstatistik, … - 1999

In this paper, control variates are proposed to speed up Monte Carlo Simulations to estimate expected error rates in …

Persistent link: https://www.econbiz.de/10010982366

Indirect Estimation of Just-Identified Models with Control Variates

Calzolari, Giorgio; Iorio, F. Di; Fiorentini, G. - Dipartimento di Statistica, Informatica, Applicazioni … - 1999

reduction can be achieved, at virtually no additional computational cost, by use of control variates. This technique can be …

Persistent link: https://www.econbiz.de/10008540720

Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus; Calzolari, Giorgio; Röhl, Michael Claus - 1999

In this paper, control variates are proposed to speed up Monte Carlo Simulations to estimate expected error rates in …

Persistent link: https://www.econbiz.de/10009789908

- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME

Fiorentini, Gabriele; Iorio, Francesca Di; Calzolari, … - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998

no additional computational cost, by use of control variates. The Ornstein-Uhlenbeck process, used by Vasicek to model …

Persistent link: https://www.econbiz.de/10005731423

Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus; Calzolari, Giorgio; Roehl, Michael C. - Volkswirtschaftliche Fakultät, … - 1998

In this paper, control variates are proposed to speed up Monte Carlo simulations to estimate expected error rates in …

Persistent link: https://www.econbiz.de/10008560052

Control variates for variance reduction in indirect inference: interest rate models in continuous time

Calzolari, Giorgio; Di Iorio, Francesca; Fiorentini, … - Volkswirtschaftliche Fakultät, … - 1996

no additional computation cost, by use of control variates. The Ornstein-Uhlenbeck equation, used by Vasicek to model the …

Persistent link: https://www.econbiz.de/10008560131

Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model

Jensen, Malene Shin; Svenstrup, Mikkel - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002

This paper concerns the problem of valuing Bermudan swaptions in a Libor market model. In particular we consider various eﬃciency improvement techniques for a Monte Carlo based valuation method. We suggest a simplification of the Andersen (2000) exercise strategy and find it to be much...

Persistent link: https://www.econbiz.de/10005750410

An Efficient Monte Carlo Study of Feasible Generalized Least Squares Estimators for Panel Data Models

Casquel, Elena; Uriel, Ezequiel - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345446

Control variates for variance reduction in indirect inference: Interest rate models in continuous time

CALZOLARI, GIORGIO; IORIO, FRANCESCA DI; FIORENTINI, … - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 100-100

additional computational cost, by use of control variates. The Ornstein-Uhlenbeck process, used by Vasicek to model the short …

Persistent link: https://www.econbiz.de/10005100157

Control Variates for Probability and Quantile Estimation

Hesterberg, Timothy C.; Nelson, Barry L. - In: Management Science 44 (1998) 9, pp. 1295-1312

performance. All of the estimators exploit control variates to increase their precision, which is especially important when … interest. Control variates are auxiliary random variables with known properties---in this case, known quantiles---and a strong …

Persistent link: https://www.econbiz.de/10009197501