Zufall und Quasi-Monte Carlo Ansätze / Randomness and Quasi-Monte Carlo Approaches: Einige Anmerkungen zu Grundlagen und Anwendungen in Statistik und Ökonometrie / Some Remarks on Fundamentals and Applications in Statistics and Econometrics
Monte Carlo methods are widely applied in statistics and econometrics and have been found to be powerful tools. In general, Monte Carlo methods are based on pseudo random numbers. Hence, the relationship between some fundamental understanding of randomness and its application in Monte Carlo methods is rather weak. The difference between Monte Carlo and quasi-Monte Carlo approaches consists in the fact that in the latter the mention of randomness is replaced by some measure of uniformity of distribution of the points used for the analysis. These measures are chosen in a way to obtain optimal results from numerical integration, stochastic simulation or estimation based on the quasi-Monte Carlo sampling. The paper presents some fundamentals of quasi-Monte Carlo methods including the generation of good point sets for application. Furthermore, some hints at the potential usefulness of these methods in statistics and econometrics are given.
Volume (Year): 218 (1999)
Issue (Month): 1-2 (February)
|Contact details of provider:|| Web page: https://www.degruyter.com|
|Order Information:||Web: https://www.degruyter.com/view/j/jbnst|
When requesting a correction, please mention this item's handle: RePEc:jns:jbstat:v:218:y:1999:i:1-2:p:215-228. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla)
If references are entirely missing, you can add them using this form.