Hilbert space analysis of latin hypercube sampling

DOI10.1090/S0002-9939-00-05850-0MaRDI QIDQ2701646zbMATH OpenOpenAlexFDO

Authors Peter Mathé

Publication date 19 February 2001

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0002-9939-00-05850-0

zbMATH Keywords

asymptotic varianceconvergenceerror asymptoticsHilbert spacelatin hypercube samplingSobolev spacesstratified sampling

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05)

Review text

The main aim of the paper is the error asymptotics of latin hypercube sampling. The author proposes an explicit approach to the latin hypercube sampling based on the orthogonal projections in an appropriate Hilbert space related to the ANOVA decomposition in order to allow for a rigorous error analysis. Moreover, it is shown that the convergence cannot be uniformly superior to independent sampling on the class of square integrable functions. General conditions are established under which uniformity can be achieved, thereby indicating the role of certain Sobolev spaces. The material is presented in such a way that also surveys previous results. Hilbert space technique is used throughout.

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Cited in

(4)

• On Latin hypercube sampling
• Estimating the integral of a squared regression function with Latin hypercube sampling
• Expected integration approximation under general equal measure partition
• On the L₂-discrepancy of Latin hypercubes

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