Abstract
Approximation properties of the underlying estimator are used to improve the efficiency of the method of dependent tests. A multilevel approximation procedure is developed such that in each level the number of samples is balanced with the level-dependent variance, resulting in a considerable reduction of the overall computational cost. The new technique is applied to the Monte Carlo estimation of integrals depending on a parameter.
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Heinrich, S. (2000). The Multilevel Method of Dependent Tests. In: Balakrishnan, N., Melas, V.B., Ermakov, S. (eds) Advances in Stochastic Simulation Methods. Statistics for Industry and Technology. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-1318-5_4
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DOI: https://doi.org/10.1007/978-1-4612-1318-5_4
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