Is a Small Monte Carlo Analysis a Good Analysis? Checking the Size, Power and Consistency of a Simulation-Based Test
In this paper we study the relationship between the number of replications and the accuracy of the estimated quantiles of a distribution obtained by simulation. A method for testing hypotheses on the quantiles of a theoretical distribution using the simulated distribution is proposed, as well as a m...
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2002 |
| País: | España |
| Institución: | Universidad del País Vasco |
| Repositorio: | Addi. Archivo Digital para la Docencia y la Investigación |
| OAI Identifier: | oai:addi.ehu.eus:10810/4963 |
| Acceso en línea: | http://hdl.handle.net/10810/4963 |
| Access Level: | acceso abierto |
| Palabra clave: | Monte Carlo replications accuracy STATISTICS AND PROBABILITY |
| Sumario: | In this paper we study the relationship between the number of replications and the accuracy of the estimated quantiles of a distribution obtained by simulation. A method for testing hypotheses on the quantiles of a theoretical distribution using the simulated distribution is proposed, as well as a method to check the hypothesis of consistency of a test. |
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