Summing before taking a mean changes Monte Carlo normalization

ID: summing-before-taking-a-mean-changes-monte-carlo-normalization

For observations, taking the mean of their scalar sum returns that sum, not their sample mean. If is unbiased for a target, replacing the mean by a sum gives expected value and multiplies its variance by . A mean-zero control variate changes variance but cannot correct this missing normalization factor.

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