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arXiv · 1903.02261

Note on Pairwise Negative Dependence of Randomized Rank-1 Lattices

Marcin Wnuk·Michael Gnewuch
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Abstract

In her recent paper [Negative dependence, scrambled nets, and variance bounds. Math. Oper. Res. 43 (2018), 228-251] Christiane Lemieux studied a framework to analyze the dependence structure of sampling schemes. The main goal of the framework is to determine conditions under which the negative dependence structure of a sampling scheme yields estimators with reduced variance compared to Monte Carlo estimators. For instance, she was able to show that in dimension d = 2 scrambled (0,m, d)-nets lead to randomized quasi-Monte Carlo estimators with variance no larger than the variance of Monte Carlo estimators for functions monotone in each variable. Her result relies on a pairwise negative dependence property that is, in particular, satisfied by (0,m, 2)-nets. In this note we establish that the same result holds true in arbitrary dimension d for a type of randomized lattice point sets that we call randomly shifted and jittered rank-1 lattices. We show that the details of the randomization are crucial and that already small modifications may destroy the pairwise negative dependence property.

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Marcin Wnuk, Michael Gnewuch. 2019-03-19. Note on Pairwise Negative Dependence of Randomized Rank-1 Lattices. https://doi.org/10.1016/j.orl.2020.04.005

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