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Covariance estimation using h-statistics in Monte Carlo and Multilevel Monte Carlo methods. (arXiv:2311.01336v1 [math.ST])

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We present novel Monte Carlo (MC) and multilevel Monte Carlo (MLMC) methods
for determining the unbiased covariance of random variables using h-statistics.
The advantage of this procedure lies in the unbiased construction of the
estimator's mean square error in a closed form. This is in contrast to the
conventional MC and MLMC covariance estimators, which are based on biased mean
square errors defined solely by upper bounds, particularly within the MLMC.
Finally, the numerical results of the algorithms are demonstrated by estimating
the covariance of the stochastic response of a simple 1D stochastic elliptic
PDE such as Poisson's model.

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