TRAPEZOIDAL MONTE-CARLO INTEGRATION

被引：3
|
作者：
MASRY, E [1 ]
CAMBANIS, S [1 ]
机构：
[1] UNIV N CAROLINA,DEPT STAT,CHAPEL HILL,NC 27599
来源：
SIAM JOURNAL ON NUMERICAL ANALYSIS | 1990年 / 27卷 / 01期
关键词：
D O I：
10.1137/0727016
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The approximation of weighted integrals of random processes by the trapezoidal rule based on an ordered random sample is considered. For processes that are once mean-square continuously differentiable and for weight functions that are twice continuously differentiable, it is shown that the rate of convergence of the mean-square integral approximation error is precisely n-4, and the asymptotic constant is also determined.
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页码：225 / 246
页数：22
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