A CLT for infinitely stratified estimators, with applications to debiased MLMC

DOI10.1051/proc/201759104zbMath1384.60039OpenAlexW2767988190MaRDI QIDQ4606424

Zeyu Zheng, Peter W. Glynn

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201759104

zbMATH Keywords

central limit theorem (CLT)confidence interval procedures

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Nonparametric tolerance and confidence regions (62G15) Combinatorial probability (60C05)

Related Items (4)

Optimal unbiased estimation for expected cumulative discounted cost ⋮ Central limit theorems for multilevel Monte Carlo methods ⋮ Unbiased Estimators and Multilevel Monte Carlo ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators

Cites Work

• Stochastic simulation: Algorithms and analysis
• Unbiased Estimation with Square Root Convergence for SDE Models
• Approximation Theorems of Mathematical Statistics
• Unbiased Estimators and Multilevel Monte Carlo
• A general method for debiasing a Monte Carlo estimator
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