Variance of a Monte Carlo quarter-circle pi estimate
Question
To estimate you draw independent uniform points in . Let if the th point satisfies and otherwise, and let . Using to build your estimate of (note by itself does not estimate ), the variance of that estimate has the form with integers . Find .
Short answer
. , so the natural estimator is . Its variance is , giving , .
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Open the worked solutionLessons behind this question
- Expectation, Mean, and Variance
- Conditional Probability, Total Probability, and Bayes' Rule
- Worked Examples — Probability Trees, Monty Hall, and Bayesian Updating
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