Stochastic comparisons of stratified sampling techniques for some Monte Carlo estimators

DOI10.3150/10-BEJ295MaRDI QIDQ453290zbMATH OpenOpenAlexFDO

Authors Larry Goldstein, Yosef Rinott, Marco Scarsini

Publication date 19 September 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1005.5414, https://projecteuclid.org/euclid.bj/1302009238

zbMATH Keywords

majorizationconvex orderstratified samplingstochastic orderconvex loss

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Sampling theory, sample surveys (62D05) Inequalities; stochastic orderings (60E15)

Abstract: We compare estimators of the (essential) supremum and the integral of a function $f$ defined on a measurable space when $f$ may be observed at a sample of points in its domain, possibly with error. The estimators compared vary in their levels of stratification of the domain, with the result that more refined stratification is better with respect to different criteria. The emphasis is on criteria related to stochastic orders. For example, rather than compare estimators of the integral of $f$ by their variances (for unbiased estimators), or mean square error, we attempt the stronger comparison of convex order when possible. For the supremum, the criterion is based on the stochastic order of estimators.

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Cited in

(4)

• Stochastic comparisons of stratified sampling techniques for some Monte Carlo estimators
• Estimation for monotone sampling
• Stochastic comparisons of symmetric sampling designs
• A comparative study of some discrete descent approaches in stratified sampling

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