On the Distribution of Scrambled (0,m,s)-Nets Over Unanchored Boxes

DOI10.1007/978-3-030-98319-2_5MaRDI QIDQ6154307zbMATH OpenOpenAlexFDO

Authors Christiane Lemieux, Jaspar Wiart

Publication date 14 February 2024

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2012.10363

zbMATH Keywords

discrepancynegative dependencescrambled nets

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Abstract: We introduce a new quality measure to assess randomized low-discrepancy point sets of finite size $n$. This new quality measure, which we call "pairwise sampling dependence index", is based on the concept of negative dependence. A negative value for this index implies that the corresponding point set integrates the indicator function of any unanchored box with smaller variance than the Monte Carlo method. We show that scrambled $(0,m,s)-$nets have a negative pairwise sampling dependence index. We also illustrate through an example that randomizing via a digital shift instead of scrambling may yield a positive pairwise sampling dependence index.

Recommendations

• On the dependence structure and quality of scrambled \((t,m,s)\)-nets
• The distribution of the discrepancy of scrambled digital (t,m,s)-nets
• Scrambling Sobol' and Niederreiter-Xing points
• Scrambling non-uniform nets
• On the root mean square weighted \(L_{2}\) discrepancy of scrambled nets

Cites work

• Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
• scientific article; zbMATH DE number 5797591 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 194009 (Why is no real title available?)
• scientific article; zbMATH DE number 822320 (Why is no real title available?)
• Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
• On a problem of A. Eremenko
• On negative dependence properties of Latin hypercube samples and scrambled nets
• On negatively dependent sampling schemes, variance reduction, and probabilistic upper discrepancy bounds
• On the dependence structure and quality of scrambled \((t,m,s)\)-nets
• Scrambling Sobol' and Niederreiter-Xing points

This page was built for publication: On the Distribution of Scrambled $$(0,m,s)-$$Nets Over Unanchored Boxes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6154307)