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A digital shift and a nested scramble give different error laws

Example

Use the base-2 net {0,1/2} in one dimension and f(x)=x. Compare its digital shift and nested uniform scramble. Both randomizations preserve the net almost surely and make each point uniform, but their estimate variances differ.

Facts & Assumptions

Given: The input points 0,1/2, the integrand f(x)=x, and the two randomizations.

[F1]

Digital shift randomization in base b: A digital shift adds the same random base-b digit at each position to every point.

[F2]

Nested uniform scrambling of a finite point set: A nested scramble uses independent permutations at distinct input-prefix nodes.

[F3]

Digital shifts preserve net counts and uniform marginals: Digital shifts preserve the net almost surely and make each point uniform.

[F4]

Nested uniform scrambles preserve net counts and uniform marginals: Nested scrambles preserve the net almost surely and make each point uniform.

[F5]

Expectation of a nonnegative or integrable random variable: Expectation is integration against the probability law.

[F6]

Moments, variance, and covariance on a probability space: Variance is the centered second moment of a square-integrable variable.

[F7]

Dynkin's pi-lambda theorem: Agreement on a generating π-system determines the Borel probability law.

[F8]

Expectations factor over finite products of independent random variables: Integrable functions of independent random variables have factored product expectation.

[F9]

The Lebesgue integral is linear on L1(μ): Expectation is linear on integrable real random variables.

Verification

1.1F1F5F6F7F10givenalgebra

Under a binary digital shift, the two output first digits are opposite and their later digits agree. Outside the null event that the shared tail is eventually all ones, their numeric half-open representatives therefore have average I^shift=1/4+T, where T=∑k≥2Sk2−k. For any fixed starting position, the event that the independent fair digits are all one from there onward has probability at most 2−L for every L; [F10] makes each such tail event null, so their countable union is null. A prescribed prefix of K tail digits has probability 2−K and places T in a half-open dyadic interval of length 2−K−1, exactly its probability under Unif⁡[0,1/2). These intervals generate the Borel sets of [0,1/2), and [F7] gives T∼Unif⁡[0,1/2). Hence [F5] and [F6] give EI^shift=1/2 and Var⁡(I^shift)=1/48; the null representative choice does not change these moments.

1.2F2F8F9givenalgebra

Under nested scrambling, the two distinct first input digits are sent to opposite halves. After that first digit their input-prefix nodes are distinct, so the two subsequent digit streams are independently scrambled. Conditional on which point enters which half, they are independent uniforms on their respective half intervals, and either assignment gives the same law for their average. Hence this is also the unconditional law. Each has variance (1/2)2/12=1/48, so [F8]–[F9] give the average variance (1/48+1/48)/4=1/96.

2.1F3F4step 1.1step 1.2∎

By [F3] and [F4], both rules have uniform marginals and preserve the same finite net almost surely. Their estimates nevertheless have variances 1/48 and 1/96, respectively, for this f. Thus marginal uniformity and almost-sure exact net preservation alone do not determine the randomization error law.

Depends on

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