Asymptotic normality in Monte Carlo integration
نویسندگان
چکیده
منابع مشابه
Asymptotic Normality in Monte Carlo Integration
To estimate a multiple integral of a function over the unit cube, Haber proposed two Monte Carlo estimators /'j and J'2 based on 2N and 4N observations, respec2 2 » tively, of the function. He also considered estimators Dy and D2 of the variances of/j and J'2, respectively. This paper shows that all these estimators are asymptotically normally distributed as N tends to infinity.
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 1976
ISSN: 0025-5718
DOI: 10.1090/s0025-5718-1976-0421029-8