Variance-reduction techniques - Conditioning
3 important questions on Variance-reduction techniques - Conditioning
What is the idea and goal of conditioning?
Idea: use special property to replace an estimate by its exact value, to reduce variability
goal: estimate E(X)
Trick: Rare events; Add artificial observations
goal: estimate E(X)
Trick: Rare events; Add artificial observations
Under which assumption can we do conditioning?
Existence of random variable Z such that conditional expectation E(X|Z=z) is analytically computable for all z
This implies: E(X|Z) is random variable with mean E(X) and smaller variance than X
This implies: E(X|Z) is random variable with mean E(X) and smaller variance than X
What doe other variance techniques also include?
* Stratified Sampling
* Importance Sampling
* Importance Sampling
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