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Quantitative Finance · Glosarium

Apa itu Monte Carlo method, variance reduction?

Dikenal juga sebagai: Monte Carlo method · variance reduction

Definition 26.1 Quantitative Methods · Bab 26 — Monte Carlo

The Monte Carlo method estimates μ=E[f(X)]\mu = \E[f(X)] by the average μ^n=1n∑i=1nf(Xi)\hat\mu_n = \frac1n\sum_{i=1}^nf(X_i) of independent draws. Variance reduction is any change of estimator that keeps E[μ^n]=μ\E[\hat\mu_n] = \mu (or makes the bias negligible) and lowers its variance at equal cost.

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