Abstract
Importance sampling Monte-Carlo methods are widely used for the approximation of expectations with respect to partially known probability measures. In this paper we study a deterministic version of such an estimator based on quasi-Monte Carlo. We obtain an explicit error bound in terms of the star-discrepancy for this method.
Original language | English |
---|---|
Pages (from-to) | 100-106 |
Number of pages | 7 |
Journal | Statistics and Probability Letters |
Volume | 149 |
DOIs | |
Publication status | Published - Jun 2019 |
Externally published | Yes |
Keywords
- Importance sampling
- Monte Carlo method
- Quasi-Monte Carlo