Stratified Monte Carlo Quadrature for Continuous Random Fields

@article{Abramowicz2011StratifiedMC,
  title={Stratified Monte Carlo Quadrature for Continuous Random Fields},
  author={Konrad Abramowicz and Oleg Seleznjev},
  journal={Methodology and Computing in Applied Probability},
  year={2011},
  volume={17},
  pages={59-72}
}
  • Konrad Abramowicz, Oleg Seleznjev
  • Published 2011
  • Mathematics
  • Methodology and Computing in Applied Probability
  • We consider the problem of numerical approximation of integrals of random fields over a unit hypercube. We use a stratified Monte Carlo quadrature and measure the approximation performance by the mean squared error. The quadrature is defined by a finite number of stratified randomly chosen observations with the partition generated by a rectangular grid (or design). We study the class of locally stationary random fields whose local behaviour is like a fractional Brownian field in the mean square… CONTINUE READING

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