Guaranteed Conservative Fixed Width Confidence Intervals via Monte Carlo Sampling

DOI10.1007/978-3-642-41095-6_5zbMath1302.65007arXiv1208.4318OpenAlexW1888362598MaRDI QIDQ2926213

Lan Jiang, Fred J. Hickernell, Art B. Owen, Yuewei Liu

Publication date: 31 October 2014

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

Full work available at URL: https://arxiv.org/abs/1208.4318

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Related Items (6)

Local adaption for approximation and minimization of univariate functions ⋮ Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments ⋮ Quasi-Monte Carlo Software ⋮ The cost of deterministic, adaptive, automatic algorithms: cones, not balls ⋮ Solvable integration problems and optimal sample size selection ⋮ Optimal confidence for Monte Carlo integration of smooth functions

Uses Software

• Matlab
• Algorithm 823
• Chebfun
• GAIL

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