Guaranteed conservative fixed width confidence intervals via Monte Carlo sampling

DOI10.1007/978-3-642-41095-6_5MaRDI QIDQ2926213zbMATH OpenOpenAlexFDO

Authors Fred J. Hickernell, Lan Jiang, Yuewei Liu, Art B. Owen

Publication date 31 October 2014

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.4318

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Monte Carlo methods (65C05)

Abstract: Monte Carlo methods are used to approximate the means, $mu$, of random variables $Y$, whose distributions are not known explicitly. The key idea is that the average of a random sample, $Y_1,\mathrm{...},Y_n$, tends to $mu$ as $n$ tends to infinity. This article explores how one can reliably construct a confidence interval for $mu$ with a prescribed half-width (or error tolerance) $varepsilon$. Our proposed two-stage algorithm assumes that the kurtosis of $Y$ does not exceed some user-specified bound. An initial independent and identically distributed (IID) sample is used to confidently estimate the variance of $Y$. A Berry-Esseen inequality then makes it possible to determine the size of the IID sample required to construct the desired confidence interval for $mu$. We discuss the important case where $Y=f(vX)$ and $vX$ is a random $d$-vector with probability density function $ho$. In this case $mu$ can be interpreted as the integral $in{t}_{eal{s}^d}f(vx)ho(vx)difvx$, and the Monte Carlo method becomes a method for multidimensional cubature.

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Cited in

(12)

• Solvable integration problems and optimal sample size selection
• Construction of simultaneous confidence bands using conditional Monte Carlo
• The cost of deterministic, adaptive, automatic algorithms: cones, not balls
• Optimal confidence for Monte Carlo integration of smooth functions
• Local adaption for approximation and minimization of univariate functions
• Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
• Quasi-Monte Carlo Software
• Unbiased estimators of binomial N with bounded variance based on two-stage sampling
• On bounding and approximating functions of multiple expectations using quasi-Monte Carlo
• Challenges in developing great quasi-Monte Carlo software
• Empirical Bernstein and betting confidence intervals for randomized quasi-Monte Carlo
• Stopping rules for Monte Carlo methods of martingale difference type

Describes a project that uses

Uses Software

• Algorithm 823
• GAIL
• Chebfun
• Matlab

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