Negative dependence, scrambled nets, and variance bounds

DOI10.1287/MOOR.2017.0861MaRDI QIDQ5219293zbMATH OpenOpenAlexFDO

Authors Christiane Lemieux

Publication date 11 March 2020

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.2017.0861

zbMATH Keywords

Hoeffding's lemmamonotone functionsnegative orthant dependencescrambled netsvariance reduction

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05)

Recommendations

• Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
• On negatively dependent sampling schemes, variance reduction, and probabilistic upper discrepancy bounds
• On negative dependence properties of Latin hypercube samples and scrambled nets
• Monte Carlo Variance of Scrambled Net Quadrature
• On the variance of quadrature over scrambled nets and sequences

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Cited in

(9)

• Walsh functions, scrambled \(( 0 , m , s )\)-nets, and negative covariance: applying symbolic computation to quasi-Monte Carlo integration
• On the dependence structure and quality of scrambled \((t,m,s)\)-nets
• On negative dependence properties of Latin hypercube samples and scrambled nets
• Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
• Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
• Dependence properties of scrambled Halton sequences
• On negatively dependent sampling schemes, variance reduction, and probabilistic upper discrepancy bounds
• A generalized Faulhaber inequality, improved bracketing covers, and applications to discrepancy
• A Strong Law of Large Numbers for Scrambled Net Integration

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