First- and second-order error estimates in Monte Carlo integration

In Monte Carlo integration an accurate and reliable determination of the numerical integration error is essential. We point out the need for an independent estimate of the error on this error, for which we present an unbiased estimator. In contrast to the usual (first-order) error estimator, this se...

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Veröffentlicht in:	Computer physics communications 2016-11, Vol.208, p.29-34
Hauptverfasser:	Bakx, R., Kleiss, R.H.P., Versteegen, F.
Format:	Artikel
Sprache:	eng
Schlagworte:	Central limit theorem Chan–Golub algorithm Computation Computer simulation Convergence Error estimates Errors Estimates Estimators Mathematical models Monte Carlo integration Monte Carlo methods
Online-Zugang:	Volltext
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