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~subject:"Variance reduction"
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Variance reduction
variance principle
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Paolo, Tenconi
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1
Zero variance in Markov chain Monte Carlo with an application to credit risk estimation
Paolo, Tenconi
-
Facoltà di Economia, Università degli Studi dell'Insubria
-
2008
We propose a general purpose variance reduction technique for Markov Chain Monte Carlo estimators based on the Zero-
Variance
…
principle
introduced in the physics literature by Assaraf and Caarel ( 1999). The potential of the new idea is illustrated with …
Persistent link: https://www.econbiz.de/10005771909
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2
Variance reduction in MCMC
Antonietta, Mira
;
Paolo, Tenconi
;
Dario, Bressanini
-
Facoltà di Economia, Università degli Studi dell'Insubria
-
2003
standard variance reduction principles known for regular Monte Carlo simulations (Ripley, 1987) and the Zero-
Variance
principle
…
Persistent link: https://www.econbiz.de/10005612166
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