Variance reduction with Monte Carlo estimates of error rates in multivariate classification

Weihs, Claus and Calzolari, Giorgio and Roehl, Michael C. (1998): Variance reduction with Monte Carlo estimates of error rates in multivariate classification. Published in: Technical Report 44/1999 No. Universitaet Dortmund, SFB 475 (August 1999): pp. 1-12.

Abstract

In this paper, control variates are proposed to speed up Monte Carlo simulations to estimate expected error rates in multivariate classification.

• Item Type: MPRA Paper
• Language: English
• Keywords: Classification; control variates; error rate; Monte Carlo simulation; variance reduction
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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