Variance of the simplest Monte Carlo estimators in the sign-changing case.
Sergei M. ErmakovPublished in: Monte Carlo Methods Appl. (2011)
Keyphrases
- monte carlo
- variance reduction
- importance sampling
- markov chain
- quasi monte carlo
- monte carlo simulation
- variance estimator
- policy evaluation
- confidence intervals
- simulation study
- monte carlo methods
- monte carlo tree search
- optimal strategy
- particle filter
- monte carlo method
- adaptive sampling
- point processes
- conditional density estimation
- stochastic approximation
- low variance
- search space