Introduces a double-loop randomized quasi-Monte Carlo estimator for nested integration and derives asymptotic error bounds for its bias and variance under stated regularity conditions.
Accurate approximations for posterior moments and marginal densities.Journal of the American Statistical Association, 81:82–86, 1986
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Double-loop randomized quasi-Monte Carlo estimator for nested integration
Introduces a double-loop randomized quasi-Monte Carlo estimator for nested integration and derives asymptotic error bounds for its bias and variance under stated regularity conditions.