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- Publisher
- de Gruyter
- Copyright
- Copyright 2006, Walter de Gruyter
- ISSN
- 0929-9629
- eISSN
- 1569-3961
- DOI
- 10.1515/156939606776886652
- Publisher site
- See Article on Publisher Site
Abstract
This paper investigates an error estimate proposed by Warnock and studied by Halton (2005). That error estimate is simply the sample standard error applied to certain non-randomized quasi-Monte Carlo points. This quasi-standard error (QSE) closely tracks the actual error in an example, and looks to be at least as accurate as a standard error based on random replication. We also show that the quasi-standard error is not unreasonably large in its intended use. But there are quasi-Monte Carlo (QMC) constructions for which the QSE severely underestimates the true error. Moreover, discrepancy considerations do not separate these counter-examples from other cases where the method might be reliable. We conclude that the QSE is not yet ready to be trusted in applications.
Journal
Monte Carlo Methods and Applications – de Gruyter
Published: Mar 1, 2006