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Zufall und Quasi-Monte Carlo Ansätze, Einige Anmerkungen zu Grundlagen und Anwendungen in Statistik und Ökonometrie

  • Peter Winker
  • Kai-Tai Fang

    (Universität Mannheim)

Monte Carlo Methoden haben sich auf vielen Gebieten der Statistik und Ökonometrie als wertvolles Instrument erwiesen. Die übliche Verwendung von Pseudozufallszahlen führt dazu, daß der Zusammenhang zwischen einem allgemeinen Zufallsbegriff und der Anwendung in Monte Carlo Verfahren eher ein lockerer ist. In quasi-Monte Carlo Verfahren wird von vorneherein vom Begriff des Zufalls abstrahiert. Stattdessen wird versucht, für die Anwendungen relevante Eigenschaften der erzeugten Zahlen oder Vektoren zu optimieren. In diesem Aufsatz werden einige Grundlagen dargestellt und auf den möglichen Nutzen der Anwendung von quasi-Monte Carlo Verfahren im Bereich der Statistik und Ökonometrie hingewiesen. Ferner werden einige Verfahren vorgestellt, um für ausgewählte Anwendungen besonders geeignete quasi-Monte Carlo Vektoren zu erhalten.

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Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

Volume (Year): 218 (1999)
Issue (Month): 1+2 (January)
Pages: 215-228

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Handle: RePEc:jns:jbstat:v:218:y:1999:i:1-2:p:215-228
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