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  • Search: subject:"Control Variates"
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Year of publication
Subject
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control variates 25 Monte Carlo simulation 12 variance reduction 10 Monte-Carlo-Simulation 9 Option pricing theory 8 Optionspreistheorie 8 Control variates 7 Option trading 5 Optionsgeschäft 5 Simulation 5 simulation 5 Analysis of variance 4 Sampling 4 Stichprobenerhebung 4 Varianzanalyse 4 error rate 4 Control Variates 3 Efficient Monte Carlo 3 Monte Carlo Simulation 3 Stochastic process 3 Stochastischer Prozess 3 classification 3 importance sampling 3 variance reduction techniques 3 Analysis 2 Estimation theory 2 Indirect inference 2 Mathematical analysis 2 Prediction 2 Regression analysis 2 Regressionsanalyse 2 Schätztheorie 2 Variance reduction 2 Variance reduction techniques 2 antithetic sampling 2 car insurance 2 put-call symmetry 2 random forest 2 regionalized risk 2 (SIMULATION 1
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Online availability
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Undetermined 18 Free 15 CC license 2
Type of publication
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Article 25 Book / Working Paper 12
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Working Paper 3 Arbeitspapier 2 Article 2 Graue Literatur 2 Non-commercial literature 2 research-article 1
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Language
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Undetermined 21 English 16
Author
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Calzolari, Giorgio 7 Weihs, Claus 4 Boire, François-Michel 3 Nelson, Barry L. 3 Reesor, R. Mark 3 Stentoft, Lars 3 Fiorentini, Gabriele 2 Röhl, Michael C. 2 Ahmed, Mohamed A. 1 Bottasso, Anna 1 CALZOLARI, GIORGIO 1 Casquel, Elena 1 Christian, Hirsch 1 Christiansen Marcus C. 1 Christiansen, Marcus C. 1 Daouia, Abdelaati 1 Davis, Richard A. 1 Deelstra, Griselda 1 Di Iorio, Francesca 1 Dobbin, Kevin K. 1 EICHLER, A. 1 FIORENTINI, GABRIELE 1 Fiorentini, G. 1 Fusaro, Michelangelo 1 Giles, Michael B. 1 Giribone, Pier Giuseppe 1 Grant, Floyd H. 1 Gross, Donald 1 Haji-Ali, Abdul-Lateef 1 Hesterberg, Timothy C. 1 Hinds, P. D. 1 Hirsch, Christian 1 Hsieh, Ming-Hua 1 Hsu, Jason C. 1 IORIO, FRANCESCA DI 1 Imparato, Daniele 1 Ionan, Alexei C. 1 Iorio, F. Di 1 Iorio, Francesca Di 1 Jensen, Malene Shin 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze 1 Ehrvervøkonomisk Institut, Institut for Økonomi 1 Facoltà di Economia, Università degli Studi dell'Insubria 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Society for Computational Economics - SCE 1 Tilburg University, Center for Economic Research 1
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Published in...
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Management Science 7 MPRA Paper 2 Statistics & Risk Modeling 2 Applied mathematical finance 1 Astin bulletin : the journal of the International Actuarial Association 1 Computational Statistics & Data Analysis 1 Computing in Economics and Finance 2002 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Econometrics Journal 1 Econometrics Working Papers Archive 1 Economics and Quantitative Methods 1 Finance Working Papers 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 Journal of Multivariate Analysis 1 Journal of Risk and Financial Management 1 Journal of Time Series Analysis 1 Journal of risk and financial management : JRFM 1 Mathematics and Computers in Simulation (MATCOM) 1 Operations research letters 1 Risk management magazine 1 Technical Report 1 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 1 The North American journal of economics and finance : a journal of financial economics studies 1 The journal of computational finance 1 The journal of computational finance : JFC 1 Working Papers. Serie AD 1 Working papers / TSE : WP 1
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Source
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RePEc 22 ECONIS (ZBW) 11 EconStor 3 Other ZBW resources 1
Showing 31 - 37 of 37
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Strategies for Combining Antithetic Variates and Control Variates in Designed Simulation Experiments
Kwon, Chimyung; Tew, Jeffrey D. - In: Management Science 40 (1994) 8, pp. 1021-1034
control variates to estimate the mean response in a designed simulation experiment. In Combined Method I, we perform h … implemented these three methods, along with the classical method of control variates, in a simulation model of a resource … degree of correlation between the control variates and the response. …
Persistent link: https://www.econbiz.de/10009191781
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Control Variate Models for Estimating Transient Performance Measures in Repairable Item Systems
Ahmed, Mohamed A.; Gross, Donald; Miller, Douglas R. - In: Management Science 38 (1992) 3, pp. 388-399
. We show that using \infty /\infty models as control variates for f/f systems can be an effective variance reduction …
Persistent link: https://www.econbiz.de/10009191783
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Multivariate Batch Means and Control Variates
Yang, Wei-Ning; Nelson, Barry L. - In: Management Science 38 (1992) 10, pp. 1415-1431
number of control variates on the multivariate point and region estimators and the univariate point and interval estimators … to choose as a function of the number of responses and control variates. The results have implications for terminating …
Persistent link: https://www.econbiz.de/10009203978
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Control Variates for Quantile Estimation
Hsu, Jason C.; Nelson, Barry L. - In: Management Science 36 (1990) 7, pp. 835-851
New point and interval estimators for quantiles that employ a control variate are introduced. The properties of these estimators do not depend on the usual assumption of joint normality between the random variable of interest and the control. Illustrative examples for queueing and stochastic...
Persistent link: https://www.econbiz.de/10009191658
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Estimation of Multiresponse Simulation Metamodels Using Control Variates
Nova, Acácio M. De O. Porta; Wilson, James R. - In: Management Science 35 (1989) 11, pp. 1316-1333
This paper provides a unified development of the method of control variates for simulation experiments in which the … of this topic, we allow both the input and output of the metamodel to be multidimensional so that control variates can be … with a homogeneous covariance structure across the points of the experimental design, we develop control variates …
Persistent link: https://www.econbiz.de/10009214606
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Experimental Evaluation of Variance Reduction Techniques for Queueing Simulation Using Generalized Concomitant Variables
Wilson, J. R.; Pritsker, A. A. B. - In: Management Science 30 (1984) 12, pp. 1459-1472
from 10% to 40% and confidence-interval reductions between 1% and 20%. The control-variates schemes yielded variance …
Persistent link: https://www.econbiz.de/10009191264
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Variance reduction techniques in stochastic shortest route analysis: application procedures and results
Grant, Floyd H.; Solberg, James J. - In: Mathematics and Computers in Simulation (MATCOM) 25 (1983) 4, pp. 366-375
development of application procedures for three variance reduction techniques: antithetic sampling, control variates, and …
Persistent link: https://www.econbiz.de/10010749750
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