Gaussian limits for discrepancies. I: Asymptotic results

DOI10.1016/S0010-4655(97)00105-7zbMATH Open0938.65005arXivphysics/9708014OpenAlexW3101996984MaRDI QIDQ1967213FDOQ1967213

André van Hameren, Jiri K. Hoogland, Ronald Kleiss

Publication date: 20 March 2000

Published in: Computer Physics Communications (Search for Journal in Brave)

Abstract: We consider the problem of finding, for a given quadratic measure of non-uniformity of a set of $N$ points (such as $L_2$ star-discrepancy or diaphony), the asymptotic distribution of this discrepancy for truly random points in the limit $Noinfty$. We then examine the circumstances under which this distribution approaches a normal distribution. For large classes of non-uniformity measures, a Law of Many Modes in the spirit of the Central Limit Theorem can be derived.

Full work available at URL: https://arxiv.org/abs/physics/9708014

zbMATH Keywords

asymptotic distributioncentral limit theoremnumerical integrationquasi-Monte Carlo methoddiaphonyGaussian limitsstar-discrepancynon-uniformity measures

Mathematics Subject Classification ID

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

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Cited In (9)

• Statistical properties of generalized discrepancies
• The inverse of the star-discrepancy depends linearly on the dimension
• Asymptotic properties of the spectral test, diaphony, and related quantities
• Central limit theorem for \((t,s)\)-sequences in base 2
• Quantum field theory for discrepancies
• Quantum field theory for discrepancies. II: \(1/N\) corrections using fermions
• Scaling limits for the Lego discrepancy
• Diaphony, a measure of uniform distribution, and the Patterson function
• Gaussian limits for discrepancies. I: Asymptotic results

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