MCuncert — Monte Carlo and quasi-Monte Carlo uncertainty estimator
The MCuncert is a C++ autotools packaging of the code that estimates the uncertainity of either Monte Carlo and quasi-Monte Carlo estimators. While the first only uses the Central Limit Theorem to bound the error based on IID Monte Carlo, the second needs digital nets according to Reliable Adaptive Cubature Using Digital Sequences by Fred J. Hickernell and Lluis Antoni Jimenez Rugama. Further information about this code is provided in the package README file.
Contact: Lluis Antoni Jimenez Rugama