HTML version of Scripted Foils prepared 12 November 1996

Foil 12 Error in Central Limit Averaging

From CPS615-End of Basic Overview of Random Numbers and First Part of Monte Carlo Integration Delivered Lectures of CPS615 Basic Simulation Track for Computational Science -- 22 October 96. by Geoffrey C. Fox *
Secs 214.5
1 x and z are random variables with distributions - one has n copies of each
2 y = S (zi=f(xi))/n is a random variable with a distribution ,even though we only have one value for y we can calculate properties of this distribution including most importantly the expected error in y
3 This is most importantly applied in case f(x)=x and the above allows one to calculate error in basic central limit theorem application to y = S xii/n
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