Trapezoidal Monte Carlo integration
Trapezoidal Monte Carlo integration
复制标题
梯形蒙特卡罗积分
DOI：
10.1137/0727016
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发表时间：
1990
影响因子：
2.9
通讯作者：
S. Cambanis
中科院分区：
文献类型：
--
作者：
E. Masry;S. Cambanis
翻译后摘要：随机过程的加权积分的梯形规则的基础上有序随机样本的近似。对于一次均方连续可微的过程和两次连续可微的权重函数，均方积分近似误差的收敛速率恰好是n的负4次方，并且渐近常数也被确定。关键词：重印。
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.