Abstract #300961

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JSM 2003 Abstract #300961
Activity Number: 333
Type: Contributed
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: IMS
Abstract - #300961
Title: Monte Carlo Simulations via Control Variates
Author(s): Francois Perron*+
Companies: University of Montreal
Address: Dept. of Math and Statistics, Montreal, PQ, H3C 3J7, Canada
Keywords: importance sampling ; accept-reject algorithm ; control variates ; Rao-Blackwellization
Abstract:

This paper proposes methods to improve Monte Carlo estimates of a mean $\mu$ using a covariate. We propose a new unbiased estimator when the correlation with the covariate is unknown. We apply our results to the importance sampling and the accept-reject algorithm. We also work on Rao-Blackwellizations. Numerical results are given.

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