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On the Warnock-Halton quasi-standard error.
- Source :
- Monte Carlo Methods & Applications; 2006, Vol. 12 Issue 1, p47-54, 8p, 1 Graph
- Publication Year :
- 2006
-
Abstract
- This paper investigates an error estimate proposed by Warnock and studied by Halton (2005). That error estimate is simply the sample standard error applied to certain non-randomized quasi-Monte Carlo points. This quasi-standard error (QSE) closely tracks the actual error in an example, and looks to be at least as accurate as a standard error based on random replication. We also show that the quasi-standard error is not unreasonably large in its intended use. But there are quasi-Monte Carlo (QMC) constructions for which the QSE severely underestimates the true error. Moreover, discrepancy considerations do not separate these counter-examples from other cases where the method might be reliable. We conclude that the QSE is not yet ready to be trusted in applications. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09299629
- Volume :
- 12
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Monte Carlo Methods & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 20619462
- Full Text :
- https://doi.org/10.1515/156939606776886652