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Variance of a Monte Carlo quarter-circle pi estimate

Question

To estimate π\pi you draw NN independent uniform points in [0,1]2[0,1]^2. Let Ii=1I_i=1 if the iith point satisfies x2+y2≤1x^2+y^2\le1 and 00 otherwise, and let TN=1N∑i=1NIiT_N=\tfrac1N\sum_{i=1}^N I_i. Using TNT_N to build your estimate of π\pi (note TNT_N by itself does not estimate π\pi), the variance of that estimate has the form aπ2+bπN\dfrac{a\pi^2+b\pi}{N} with integers a,ba,b. Find a+ba+b.

Short answer

33. E[Ii]=π/4\mathbb{E}[I_i]=\pi/4, so the natural estimator is 4TN4T_N. Its variance is 16N⋅π4(1−π4)=4π−π2N\tfrac{16}{N}\cdot\tfrac{\pi}{4}\left(1-\tfrac{\pi}{4}\right)=\tfrac{4\pi-\pi^2}{N}, giving a=−1a=-1, b=4b=4.

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