Negative dependence, scrambled nets, and variance bounds

DOI10.1287/MOOR.2017.0861zbMATH Open1445.62126OpenAlexW2752127906MaRDI QIDQ5219293FDOQ5219293

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

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

zbMATH Keywords

variance reductionmonotone functionsnegative orthant dependenceHoeffding's lemmascrambled nets

Mathematics Subject Classification ID

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

Cites Work

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Cited In (8)

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

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