Asymptotic normality of extensible grid sampling

DOI10.1007/S11222-017-9794-YMaRDI QIDQ2329748zbMATH OpenOpenAlexFDO

Authors Zhijian He, Lingjiong Zhu

Publication date 18 October 2019

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1705.03181

zbMATH Keywords

asymptotic normalityextensible grid samplingHilbert's space filling curvenumerical integrationrandomized quasi-Monte Carlovan der Corput sequence

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Asymptotic properties of parametric estimators (62F12) Numerical integration (65D30)

Abstract: Recently, He and Owen (2016) proposed the use of Hilbert's space filling curve (HSFC) in numerical integration as a way of reducing the dimension from $d>1$ to $d=1$. This paper studies the asymptotic normality of the HSFC-based estimate when using scrambled van der Corput sequence as input. We show that the estimate has an asymptotic normal distribution for functions in $C^1([0,1{]}^d)$, excluding the trivial case of constant functions. The asymptotic normality also holds for discontinuous functions under mild conditions. It was previously known only that scrambled $(0,m,d)$-net quadratures enjoy the asymptotic normality for smooth enough functions, whose mixed partial gradients satisfy a H"older condition. As a by-product, we find lower bounds for the variance of the HSFC-based estimate. Particularly, for nontrivial functions in $C^1([0,1{]}^d)$, the low bound is of order $n^{-1-2/d}$, which matches the rate of the upper bound established in He and Owen (2016).

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Cited in

(6)

• Extensible Grids: Uniform Sampling on a Space Filling Curve
• Expected integration approximation under general equal measure partition
• Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
• Extensible grid sampling for quantile estimation
• Upper bound estimation of star discrepancy based on Hilbert space filling curve stratified sampling and its applications
• Probabilistic weighted star discrepancy bound based on the general equal measure partition

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