Discrete stochastic consistent estimators of the Monte Carlo method

The efficiency of discrete stochastic consistent estimators (the weighted uniform sampling and estimator with a correcting multiplier) of the Monte Carlo method is investigated. Confidence intervals and upper bounds on the variances are obtained, and the computational cost of the corresponding discr...

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Bibliographic Details
Published in:Computational mathematics and mathematical physics 2008-09, Vol.48 (9), p.1508-1520
Main Authors: Busygin, S. V., Voytishek, A. V., Kablukova, E. G., Efremov, A. I.
Format: Article
Language:English
Subjects:
Algorithms
Computational mathematics
Computational Mathematics and Numerical Analysis
Confidence intervals
Estimators
Mathematics
Mathematics and Statistics
Monte Carlo simulation
Random variables
Sample variance
Sampling techniques
Stochastic models
Studies
Upper bounds
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Summary:The efficiency of discrete stochastic consistent estimators (the weighted uniform sampling and estimator with a correcting multiplier) of the Monte Carlo method is investigated. Confidence intervals and upper bounds on the variances are obtained, and the computational cost of the corresponding discrete stochastic numerical scheme is estimated.
ISSN:0965-5425
1555-6662
DOI:10.1134/S0965542508090030