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Sharp gain bound for scrambled -nets
Statement
Assume Countable Choice. Let be a -net in base , with . For every nonempty and every scale vector , the nested-scramble gain of ANOVA variance identity for nestedly scrambled point sets satisfies
Facts & Assumptions
Given: Countable Choice, a -net, and a nonempty coordinate subset .
-nets in base : At total digit depth , every elementary interval contains exactly one net point.
Pair-count formula for scrambled-net gain coefficients: The gain is determined by the ordered pair counts at depths .
The Axiom of Countable Choice (): Countable Choice is inherited through the gain formula.
Proof
Given: The objects and assumptions in the Statement.
Put and . At total digit depth , every cell contains points by partitioning it into depth- cells, so its ordered-pair count is . At depth , each cell lies in a depth- cell containing one point, so the total ordered-pair count is .
Substitute these counts into [F2]. If , every term uses the first count and the alternating sum is zero. If , every term uses the second count and the binomial theorem gives . In the remaining case , let , so . Grouping subsets by cardinality and using the partial binomial identity gives
Suppose for an integer . For and , the ratio , since and . Pairing adjacent terms in the alternating sum shows its sign is and its absolute value is at most . Since , the correction to in is nonpositive. Hence .
Suppose for an integer . Define and , with . Pascal's identity, applied termwise, gives . Using the formula in step 2.1 and the parity therefore gives If , the second binomial is zero. If and , then . The condition gives . Thus whenever the larger dimension is allowed.
Repeatedly applying step 3.2 shows every allowed odd-offset gain is at most . By the binomial theorem, , so step 2.1 gives . The even-offset case is at most by step 3.1, and the other two cases are or . Since and , every gain is at most .
Depends on
Used by
Dependency tree · two levels
18 results within two dependency steps of this one, each drawn at its shortest distance from it. An arrow runs from a result to what uses it, so the chart reads left to right and ends at this result, which carries a heavier outline. Every node is a link to that result. Click elsewhere on the chart to enlarge it.
Sources
- Art B. Owen, Monte Carlo Variance of Scrambled Net Quadrature, Theorem 3 and proof, pp. 1902–1904 (standard reference, not scraped)
- Art B. Owen, Monte Carlo Book: The Quasi-Monte Carlo Parts, Chapter 17 §17.5, Theorem 17.3 (standard reference, not scraped)