Trapezoidal Monte Carlo Integration
NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES
Pagination or Media Count:
The approximation of weighted integrals of random processes by the trapezoidal rule based on an ordered random sample is considered. For processes that are once mean-square continuously differentiable and for weight functions that are twice continuously differentiable, it is shown that the rate of convergence of the mean-square integral approximation error is precisely n to the minus 4th power, and the asymptotic constant is also determined. Keywords Reprints.
- Statistics and Probability