Transformations and HardyKrause variation
Abstract
Using a multivariable Faa di Bruno formula we give conditions on transformations $\tau:[0,1]^m\to\mathcal{X}$ where $\mathcal{X}$ is a closed and bounded subset of $\mathbb{R}^d$ such that $f\circ\tau$ is of bounded variation in the sense of Hardy and Krause for all $f\in C^d(\mathcal{x})$. We give similar conditions for $f\circ\tau$ to be smooth enough for scrambled net sampling to attain $O(n^{3/2+\epsilon})$ accuracy. Some popular symmetric transformations to the simplex and sphere are shown to satisfy neither condition. Some other transformations due to Fang and Wang (1993) satisfy the first but not the second condition. We provide transformations for the simplex that makes $f\circ\tau$ smooth enough to fully benefit from scrambled net sampling for all $f$ in a class of generalized polynomials. We also find sufficient conditions for the RosenblattHlawkaMück transformation in $\mathbb{R}^2$ and for importance sampling to be of bounded variation in the sense of Hardy and Krause.
 Publication:

arXiv eprints
 Pub Date:
 December 2015
 DOI:
 10.48550/arXiv.1512.02713
 arXiv:
 arXiv:1512.02713
 Bibcode:
 2015arXiv151202713B
 Keywords:

 Statistics  Computation;
 Mathematics  Numerical Analysis