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


  • Weihs, Claus
  • Calzolari, Giorgio
  • Roehl, Michael C.


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

Suggested Citation

  • Weihs, Claus & Calzolari, Giorgio & Roehl, Michael C., 1998. "Variance reduction with Monte Carlo estimates of error rates in multivariate classification," MPRA Paper 24425, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:24425

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    Classification; control variates; error rate; Monte Carlo simulation; variance reduction;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques


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