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Control‐variate selection criteria

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  • Kenneth W. Bauer
  • James R. Wilson

Abstract

For multiresponse simulations requiring point and confidence‐region estimators of the mean response, we propose control‐variate selection criteria that minimize mean‐square confidence‐region volume in two situations: (a) Only the mean control vector is known, and standard linear control‐variate estimation procedures are used. (b) Covariances among controls are also known and are incorporated into new linear control‐variate estimation procedures. An example illustrates the performance of these selection criteria.

Suggested Citation

  • Kenneth W. Bauer & James R. Wilson, 1992. "Control‐variate selection criteria," Naval Research Logistics (NRL), John Wiley & Sons, vol. 39(3), pages 307-321, April.
    • Handle: RePEc:wly:navres:v:39:y:1992:i:3:p:307-321
    DOI: 10.1002/nav.3220390303
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    References listed on IDEAS

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