Trapezoidal Monte Carlo Integration

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.

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1990
Accession Number
ADA222380

Entities

People

  • Elias Masry
  • Stamatis Cambanis

Organizations

  • University of North Carolina at Chapel Hill

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Convergence
  • Data Science
  • Information Science
  • Integrals
  • Mathematics
  • Monte Carlo Method
  • Order Statistics
  • Polynomials
  • Probability
  • Random Variables
  • Statistical Algorithms
  • Statistical Analysis
  • Statistical Samples
  • Statistical Sampling
  • Statistics
  • Theorems

Readers

  • Calculus or Mathematical Analysis
  • Regression Analysis.