2 papers
stat.ME2025
Variance-reduced extreme value index estimators using control variates in a semi-supervised setting
Louison Bocquet-Nouaille, Jérôme Morio, Benjamin Bobbia
The estimation of the Extreme Value Index (EVI) is fundamental in extreme value analysis but suffers from high variance due to reliance on only a few extreme observations. We propo…
math.ST2025
Control variates for variance-reduced ratio of means estimators
Louison Bocquet-Nouaille, Jérôme Morio, Benjamin Bobbia
The control variates method is a classical variance reduction technique for Monte Carlo estimators that exploits correlated auxiliary variables without introducing bias. In many ap…