Gaussian limits for discrepancies. I: Asymptotic results

DOI10.1016/S0010-4655(97)00105-7MaRDI QIDQ1967213zbMATH OpenOpenAlexFDO

Authors André van Hameren, Ronald Kleiss, Jiri K. Hoogland

Publication date 20 March 2000

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

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)

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.

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Cited in

(11)

• 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
• The asymptotic distribution of quadratic discrepancies
• 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
• On the Gaussian limiting distribution of lattice points in a parallelepiped
• Gaussian limits for discrepancies. I: Asymptotic results

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