Stratified random sampling for dependent inputs in Monte Carlo simulations from computer experiments

DOI10.1016/J.JSPI.2019.08.001MaRDI QIDQ2301061zbMATH OpenOpenAlexWikidataFDO

Authors Anirban Mondal, Abhijit Mandal

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.00555

zbMATH Keywords

copulaLatin hypercube samplingMonte Carlo simulationsampling with dependent random variablesstratified random samplingvariance reduction

Mathematics Subject Classification ID

Orthogonal arrays, Latin squares, Room squares (05B15) Sampling theory, sample surveys (62D05) Factorial statistical designs (62K15) Applications of statistics to environmental and related topics (62P12)

Abstract: A new approach of obtaining stratified random samples from statistically dependent random variables is described. The proposed method can be used to obtain samples from the input space of a computer forward model in estimating expectations of functions of the corresponding output variables. The advantage of the proposed method over the existing methods is that it preserves the exact form of the joint distribution on the input variables. The asymptotic distribution of the new estimator is derived. Asymptotically, the variance of the estimator using the proposed method is less than that obtained using the simple random sampling, with the degree of variance reduction depending on the degree of additivity in the function being integrated. This technique is applied to a practical example related to the performance of the river flood inundation model.

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Cited in

(4)

• Representative points for distribution recovering
• Robust estimation with Latin hypercube sampling: a central limit theorem for Z-estimators
• Strata Design for Variance Reduction in Stochastic Simulation
• Simple and efficient uncertainty propagation within numerical simulations involving low-dimensional random spaces

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