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Randomly Permuted (t,m,s)-Nets and (t, s)-Sequences

  • Art B. Owen
Part of the Lecture Notes in Statistics book series (LNS, volume 106)

Abstract

This article presents a hybrid of Monte Carlo and Quasi-Monte Carlo methods. In this hybrid, certain low discrepancy point sets and sequences due to Faure, Niederreiter and Sobol’ are obtained and their digits are randomly permuted. Since this randomization preserves the equidistribution properties of the points it also preserves the proven bounds on their quadrature errors. The accuracy of an estimated integrand can be assessed by replication, consisting of independent re-randomizations.

Keywords

Orthogonal Array Latin Hypercube Sample Probability Zero Monte Carlo Variance Elementary Interval 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag New York, Inc. 1995

Authors and Affiliations

  • Art B. Owen
    • 1
  1. 1.Dept. of StatisticsSequoia Hall Stanford UniversityStanfordUSA

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