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.
Lattice rules: How well do they measure up? In: Hellekalek P and Larcher G (Eds.)
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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.