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Monica219 · 2022年08月18日

Inverse transformation

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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.

可以解释一下Inverse transformation,然后这个具体应用在哪里?

2 个答案

星星_品职助教 · 2022年08月19日

讲义中没有直接出现这个词,由老师口述和板书讲解。

星星_品职助教 · 2022年08月18日

同学你好,

Inverse transformation是一种抽取随机数的方法。主要应用在simulation里。

具体的做法可以参照基础班下面这个视频2倍速的11分50秒开始。


和这个视频2倍速的10分20秒开始。

Monica219 · 2022年08月18日

含有这个词的那一页ppt在哪??

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