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xyrg+ · 2023年01月28日

BCD的适用情况是？

  1. FRM I
  2. Quantitative

NO.PZ2019040801000068

问题如下：

Analysts' concern for Monte Carlo simulations is the size of the sampling error. Antithetic variate technique is an effective way to reduce the sampling error. In the following statements, which describes the antithetic variate technique most accurately?

选项：

A.

The simulation is rerun using a complement set of the original set of random variables.

B.

The process of data generating is approximated by redefining the unknown variable with a variable that has known properties.

C.

In order to reduce sampling error, analysts enlarges the number of replications.

D.

In order to make sure that the probability of sample data being redrawn is equal, analysts should replace the sample data after every replication.

解释：

A is correct.

考点：Antithetic Variates

解析：本题考查的是关于Antithetic Variates的结论。这句结论“The antithetic variate technique reduces Monte Carlo sampling error by rerunning the simulation using a complement set of the original set of random variables.”在基础班讲义上有。

BCD的适用情况是？是解决哪种error？

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已采纳答案

pzqa27 · 2023年01月28日

嗨，从没放弃的小努力你好：


这个题说问哪个选项对Antithetic Variates的描述正确，这里只有A是对的，

B说的是用一个已知的变量来替代未知变量，这个明显不符合Antithetic Variates的描述，Antithetic Variates是在取值的时候一次取正，一次取负，都是已知的变量

C说的是为了减少误差，增加了replication的次数，Antithetic Variates是用来减少误差的，但是不是增加replication的次数

D说的是为了确保样本数据被重新抽取的概率是相等的，分析员应该在每次复制后替换样本数据。这条说的倒是挺对的，但是它跟Antithetic Variates没关系，Antithetic Variates是强行要求数据一正一负，没有说替换样本的事

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