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arXiv · 1903.06006

On the optimality of the Monte-Carlo estimator

Antoine Pinochet Lobos
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Abstract

We prove that on an atomless probability space, the worst-case mean squared error of the Monte-Carlo estimator is minimal if the random points are chosen independently.

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Antoine Pinochet Lobos. 2019-03-14. On the optimality of the Monte-Carlo estimator. https://arxiv.org/abs/1903.06006

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