Variance-reduction techniques - Control Variates

3 important questions on Variance-reduction techniques - Control Variates

What is the idea of Control Variates?

use auxiliary random variable with known mean to adjust (control) the estimate of an unknown mean on the basis of correlation

What are the pratical problems in the control variates method?

* Var(y) may or may not be known
* Cov(X,Y) certainly not known

What are types of control variates?

* Internal: input random variates
* External: Output random variates, requires additional simulatons
* Multiple estimators for same output

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