A CLT for infinitely stratified estimators, with applications to debiased MLMC *
This paper develops a general central limit theorem (CLT) for post-stratified Monte Carlo estimators with an associated infinite number of strata. In addition, consistency of the corresponding variance estimator is established in the same setting. With these results in hand, one can then construct a...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://doi.org/10.1051/proc/201759104 |