We consider the problem of estimating the density of a random variable $X$ that can be sampled exactly by Monte Carlo (MC). We investigate the effectiveness of replacing MC by randomized quasi Monte Carlo (RQMC) or by stratified sampling over the unit cube, to reduce the integrated variance (IV) and the mean integrated square error (MISE) for kernel density estimators. We show theoretically and empirically that the RQMC and stratified estimators can achieve substantial reductions of the IV and the MISE, and even faster convergence rates than MC in some situations, while leaving the bias unchanged. We also show that the variance bounds obtained via a traditional Koksma-Hlawka-type inequality for RQMC are much too loose to be useful when the dimension of the problem exceeds a few units. We describe an alternative way to estimate the IV, a good bandwidth, and the MISE, under RQMC or stratification, and we show empirically that in some situations, the MISE can be reduced significantly even in high-dimensional settings.
翻译:我们考虑了估算随机变量X美元密度的问题,可以完全由Monte Carlo(MC)来抽查。我们调查以随机准Monte Carlo(RQMC)或对单元立方体进行分层抽样取代MC的有效性,以减少内核密度估计器的综合差异(IV)和平均集成方差(MISE)的问题。我们从理论上和从经验上表明,RQMC和分层估计器可以大幅削减IV和MISE,在某些情况下甚至比MC更快的趋同率,同时保持偏见不变。我们还表明,通过传统的Koksma-Hlawka型不平等获得的RQMCE差异界限太松,在问题的规模超过几个单位时,无法发挥作用。我们描述了在RQMC或分级下估计IV、良好带宽度和MISE的替代方法,我们从经验上表明,在某些情况下,MISE在高维度环境中也可以大大减少。