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Monte Carlo variance of scrambled net quadrature. (English) Zbl 0890.65023

This paper is devoted to the Monte Carlo variance of scrambled nets by applying a multidimensional multiresolution analysis to the integrand in numerical quadrature. The integrand is assumed to be measurable and square integrable but not necessarily of bounded variation. There are given some properties of the studied variance. As a special case of scrambled net quadrature Latin hypercube sampling is studied.
Reviewer: J.Kofroň (Praha)

MSC:

65D32 Numerical quadrature and cubature formulas
65C05 Monte Carlo methods

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