Stochastic comparisons of stratified sampling techniques for some Monte Carlo estimators

DOI10.3150/10-BEJ295zbMATH Open1345.60010arXiv1005.5414OpenAlexW3105044280MaRDI QIDQ453290FDOQ453290

Authors: Larry Goldstein, Yosef Rinott, Marco Scarsini 

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1005.5414

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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)

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Cited In (4)

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

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