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Control variate method for stationary processes

Listed author(s):
  • Amano, Tomoyuki
  • Taniguchi, Masanobu
Registered author(s):

    The sample mean is one of the most natural estimators of the population mean based on independent identically distributed sample. However, if some control variate is available, it is known that the control variate method reduces the variance of the sample mean. The control variate method often assumes that the variable of interest and the control variable are i.i.d. Here we assume that these variables are stationary processes with spectral density matrices, i.e. dependent. Then we propose an estimator of the mean of the stationary process of interest by using control variate method based on nonparametric spectral estimator. It is shown that this estimator improves the sample mean in the sense of mean square error. Also this analysis is extended to the case when the mean dynamics is of the form of regression. Then we propose a control variate estimator for the regression coefficients which improves the least squares estimator (LSE). Numerical studies will be given to see how our estimator improves the LSE.

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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 165 (2011)
    Issue (Month): 1 ()
    Pages: 20-29

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    Handle: RePEc:eee:econom:v:165:y:2011:i:1:p:20-29
    DOI: 10.1016/j.jeconom.2011.05.003
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    1. S. S. Lavenberg & P. D. Welch, 1981. "A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations," Management Science, INFORMS, vol. 27(3), pages 322-335, March.
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