[求教]compare Monte Carlo Method with Exponential Tilting - 未名空间MITBBS历史存档

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[求教]compare Monte Carlo Method with Exponential Tilting

[求教]compare Monte Carlo Method with Exponential Tilting# Economics - 经济

p*a2008-04-30 07:04

1 楼

by using exponential tilling you can contracts a
more efficient estimator (the variance is lower, the confidence
interval in more narrow)
请教为什么Monte Carlo Method方法计算expected shortfall改成Exponential
Tilting计算expected shortfall之后,方差更小和置信区间更窄?
谢谢!

t*g2008-04-30 07:04

2 楼

You made me sad: I only know Exponential Tilting as a term though I learnt B
ootstrap a little bit. Are you an econometrician?

【在 p********a 的大作中提到】

: by using exponential tilling you can contracts a
: more efficient estimator (the variance is lower, the confidence
: interval in more narrow)
: 请教为什么Monte Carlo Method方法计算expected shortfall改成Exponential
: Tilting计算expected shortfall之后,方差更小和置信区间更窄?
: 谢谢!

c*e2008-04-30 07:04

3 楼

Glasserman's book Chap 4 has elaborate explanation on this issue. If you
are employing Monte Carlo method in your research, Glasserman's book is
an excellent text I would highly recommend.

【在 p********a 的大作中提到】