A two-stage Monte Carlo approach to the expression of uncertainty with finite sample sizes

Proposed supplement I to the GUM outlines a "propagation of distributions" approach to deriving the distribution of a measurand for any non-linear function and for any set of random inputs. The supplement's proposed Monte Carlo approach assumes that the distributions of the random inputs are known exactly. This implies that the sample sizes are effectively infinite. In this case, the mean of the measurand can be determined precisely using a large number of Monte Carlo simulations. In practice, however, the distributions of the inputs will rarely be known exactly, but must be estimated using possibly small samples. If these approximated distributions are treated as exact, the uncertainty in estimating the mean is not properly taken into account. In this paper, we propose a two-stage Monte Carlo procedure that explicitly takes into account the finite sample sizes used to estimate parameters of the input distributions. We will illustrate the approach with a case study involving the efficiency of a thermistor mount power sensor. The performance of the proposed approach will be compared to the standard GUM approach for finite samples using simple non-linear measurement equations. We will investigate performance in terms of coverage probabilities of derived confidence intervals.