摘要
本文是《你也需要蒙特卡罗方法》中的第二篇。文中讨论提高应用水平的一些技巧,涉及模拟模型的选取,提高计算速度或降低抽样方差的一些方法,诸如重要抽样、相关抽样、对偶抽样和分层抽样等。还讨论了模拟中所需的抽样次数的确定和模拟结果的精度评估等实用问题。
This is the second paper for the application of Monte Carlo （MC） method. Some techniques fo, enhancing applications of MC are discussed. These techniques concern with to choose a good model used for simulation, and some acceleration methods or variance reduction methods such as importance sampling, correlated sampling, antithetic variates and stratified sampling etc. Also, some practical problems such as the designation of sample size and the evaluation of accuracy of simulated result are discussed.
出处
《数理统计与管理》
CSSCI
北大核心
2007年第2期365-376,共12页
Journal of Applied Statistics and Management
关键词
统计模拟
加速方法
降低方差
蒲丰投针
重要抽样
对偶抽样
分层抽样
statistical simulation
acceleration methods
variance reduction
Buffon＇ s Needle
impor - tance sampling
antithetie variates
stratified sampling
