Some large-sample results on a modified Monte Carlo integration method

DOI10.1016/J.JSPI.2004.05.010MaRDI QIDQ2573522zbMATH OpenOpenAlexFDO

Authors Marzia Marcheselli, Lucio Barabesi

Publication date 22 November 2005

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2004.05.010

zbMATH Keywords

Haber's locally antithetic variates integration methodlinear homogeneous estimatorsampling designvariance estimation

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

Review text

In \textit{S. Haber}'s locally antithetic variates integration method [Math. Comput. 21, 388--397 (1967; Zbl 0298.65022)] the integral \(\int_{[0,1]^d}f(u)du\) is approximated by \[ \tilde I_n={1\over 2n}\sum_{j=1}^n[f(V_j)+f(2a_j-V_j)], \] where the sampling points \(V_j\) are derived as follows: \([0,1]^d\) is partitioned by uniform grid on small hypercubes \(K_j\), \(j=1,\dots,m^d=n\) with centers \(a_j\) and \(V_j\) is sampled randomly from uniform distribution on \(K_j\). (Note that \(2a_j-V_j\) is a point symmetric to \(V_j\) w.r.t. \(a_j\)). Haber has shown asymptotic normality of \((\tilde I_n-I)\) with asymptotic variance \(\sigma^2_n\sim n^{-(1+4/d)}\sigma^2\) if \(f\in C^2([0,1]^d)\). The authors demonstrate this under the milder assumption that \(\nabla f\) is a Lipschitz function. An estimator for \(\sigma^2\) is proposed and its asymptotic properties are investigated. These results are applied to environmental sampling design.

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Cites work

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• A Monte Carlo integration approach to Horvitz-Thompson estimation in replicated environmental designs
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• A modified Monte Carlo integration.
• Mixed model regression estimation of a spatial total in the continuous plane paradigm

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