p********a
发帖数: 2 | 1 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****g
发帖数: 715 | 2 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*******e
发帖数: 150 | 3 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】
: 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!
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