G-2023-67
Confidence intervals for randomized quasi-Monte Carlo estimators
, , et référence BibTeX
Randomized Quasi-Monte Carlo (RQMC) methods provide unbiased estimators whose variance often converges at a faster rate than standard Monte Carlo as a function of the sample size. However, computing valid confidence intervals is challenging because the observations from a single randomization are dependent and the central limit theorem does not ordinarily apply. A natural solution is to replicate the RQMC process independently a small number of times to estimate the variance and use a standard confidence interval based on a normal or Student t
distribution. We investigate the standard Student t
approach and two bootstrap methods for getting nonparametric confidence intervals for the mean using a modest number of replicates. Our main conclusion is that intervals based on the Student t
distribution are more reliable than even the bootstrap t
method on the integration problems arising from RQMC.
Paru en décembre 2023 , 11 pages
Axe de recherche
Applications de recherche
- Économie et finance
- Infrastructures intelligentes (télécommunications, transport public, villes intelligentes)
- Logistique intelligente (conception d’horaires, chaînes d’approvisionnement, logistique, systèmes manufacturiers)
- Marketing (intelligence d’affaires, gestion des revenus, systèmes de recommandation)
Document
G2367.pdf (400 Ko)