The variance of the discrepancy distribution of rounding procedures, and sums of uniform random variables

When ℓ probabilities are rounded to integer multiples of a given accuracy  n , the sum of the numerators may deviate from n by a nonzero discrepancy. It is proved that, for large accuracies n → ∞ , the limiting discrepancy distribution has variance ℓ / 12 . The relation to the uniform distribution o...

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Veröffentlicht in:Metrika 2017-04, Vol.80 (3), p.363-375
Hauptverfasser: Heinrich, Lothar, Pukelsheim, Friedrich, Wachtel, Vitali
Format: Artikel
Sprache:eng
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Zusammenfassung:When ℓ probabilities are rounded to integer multiples of a given accuracy  n , the sum of the numerators may deviate from n by a nonzero discrepancy. It is proved that, for large accuracies n → ∞ , the limiting discrepancy distribution has variance ℓ / 12 . The relation to the uniform distribution over the interval [ - 1 / 2 , 1 / 2 ] , whose variance is 1 / 12, is explored in detail.
ISSN:0026-1335
1435-926X
DOI:10.1007/s00184-017-0609-0