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Jingwen · 2022年06月19日

Inverse transformation是什么意思

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NO.PZ202110140100000505

问题如下:

Based on the statistical study performed by GWP, which of the following represents a suggested course of action if GWP were to conduct Monte Carlo simulation analyses on the factor strategies?

选项:

A.Inverse transformation B.Bootstrapping C.Sensitivity analysis

解释:

C is correct.

Performing sensitivity analysis represents best practice given these characteristics, because the user could test different probability distributions that relax the assumptions of the normal distribution, for example.

A is incorrect. Inverse transformation is a method of random observation generation, often used in simulation.

B is incorrect. Bootstrapping refers to random sampling with replacement, often used in historical simulation.

老师,麻烦帮解释一下,在simulation这边没有找到。

1 个答案
已采纳答案

星星_品职助教 · 2022年06月19日

同学你好,

这是发射随机数的一种方法,教材上没有具体介绍。

举个例子,如果要得到一个服从正态分布的随机数,由于正态分布的取值是负无穷到正无穷,所以直接发射会有一些问题。这时候的做法是从[0,1]的uniform distribution中发射一个随机数,将这个随机数认定为正态分布下累积概率函数的值,然后再通过这个累积概率函数的值求出相应的正态分布随机数。这个过程就是inverse transformation。简单看一下就行。

从考试角度,知道这是一种发射随机数的方法就可以。

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