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和棋 · 2020年09月06日

问一道题:NO.PZ2019040801000069

问题如下:

Analyst Underwood is using Monte Carlo simulation to test the robustness of the Dickey-Fuller test by changing the drift parameter for several different experiments, Reusing sets of random number draws will most likely result in:

选项:

A.

increasing the sampling variance across experiments, increasing the accuracy of the drift estimates for each experiment.

B.

increasing the sampling variance across experiments, not changing the accuracy of the drift estimates for each experiment.

C.

reducing the sampling variance across experiments, reducing the accuracy of the drift estimates for each experiment.

D.

reducing the sampling variance across experiments, not changing the accuracy of the drift estimates for each experiment.

解释:

D is correct

考点:Monte Carlo simulation

解析:如果重复使用一样的随机数进行蒙特卡洛模拟的话会减少结果的波动,不过虽然波动降低了,每次试验的准确性并没有被影响。当成结论记一下就好,比较偏的知识点。

这里的drift一般指常数项吗

1 个答案

小刘_品职助教 · 2020年09月07日

同学你好,

是的。

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NO.PZ2019040801000069问题如下Analyst Unrwoois using Monte Carlo simulation to test the robustness of the ckey-Fuller test changing the ift parameter for severfferent experiments, Reusing sets of ranm number aws will most likely result in: A.increasing the sampling varianacross experiments, increasing the accuraof the ift estimates for eaexperiment. B.increasing the sampling varianacross experiments, not changing the accuraof the ift estimates for eaexperiment. C.recing the sampling varianacross experiments, recing the accuraof the ift estimates for eaexperiment. recing the sampling varianacross experiments, not changing the accuraof the ift estimates for eaexperiment.is correct考点Monte Carlo simulation解析如果重复使用一样的随机数进行蒙特卡洛模拟的话会减少结果的波动,不过虽然波动降低了,每次试验的准确性并没有被影响。当成结论记一下就好,比较偏的知识点。这道题里面的 重复使用随机数 和 changing常数项 之间有什么关系

2022-03-28 17:21 1 · 回答

increasing the sampling varianacross experiments, not changing the accuraof the ift estimates for eaexperiment. recing the sampling varianacross experiments, recing the accuraof the ift estimates for eaexperiment. recing the sampling varianacross experiments, not changing the accuraof the ift estimates for eaexperiment. is corre考点Monte Carlo simulation 解析如果重复使用一样的随机数进行蒙特卡洛模拟的话会减少结果的波动,不过虽然波动降低了,每次试验的准确性并没有被影响。当成结论记一下就好,比较偏的知识点。请问什么是cky fuller test?

2020-06-01 05:40 1 · 回答

增加了试验次数,模拟的结果多了,不是精度就提高了吗?请老师解惑。

2020-03-04 10:44 1 · 回答