Accession Number:

ADA222380

Title:

Trapezoidal Monte Carlo Integration

Descriptive Note:

Corporate Author:

NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s):

Report Date:

1990-02-01

Pagination or Media Count:

23.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE