Preliminary control variates to improve empirical regression methods

Tarik Benzineb (1) , Emmanuel Gobet (1)

1 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

We design a variance reduction method to reduce the estimation error in regression problems. It is based on an appropriate use of other known regression functions. Theoretical estimates are supporting this improvement and numerical experiments are illustrating the efficiency of the method.

Mots clés: Empirical regression; variance reduction; distribution-free theory

Domaines: Probabilités [math.PR]

Tarik Benzineb, Emmanuel Gobet. Preliminary control variates to improve empirical regression methods. Monte Carlo Methods and Applications, 2013, 19 (4), pp.331--354. ⟨hal-00802394⟩