Stochastic comparisons of stratifed sampling techniques for some Monte Carlo estimators

Larry Goldstein, Yosef Rinott and Marco Scarsini

We compare estimators of the (essential) supremum and the integral of a function f defined on a measurable space when f may be observed at a sample of points in its domain, possibly with error. The estimators compared vary in their levels of stratification of the domain, with the result that more refined stratification is better with respect to different criteria. The emphasis is on criteria related to stochastic orders. For example, rather than compare estimators of the integral of f by their variances (for unbiased estimators), or mean square error, we attempt the stronger comparison of convex order when possible. For the supremum the criterion is based on the stochastic order of estimators.For some of the results no regularity assumptions for f are needed, whilefor others we assume that f is monotone on an appropriate domain.

July, 2010
Published in: 
Bernoulli 17, 592-608. (2011)