| 经济预测中的Monte Carlo模拟及方差控制——以国际石油价格预测为例 |
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| 引用本文： | 方国斌,马慧敏.经济预测中的Monte Carlo模拟及方差控制——以国际石油价格预测为例[J].统计与信息论坛,2007,22(2):58-62,68. |
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| 作者姓名： | 方国斌 马慧敏 |
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| 作者单位： | 安徽财经大学,统计与应用数学学院,安徽,蚌埠,233030 |
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| 基金项目： | 安徽省教育厅科研资助计划 |
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| 摘 要： | 从MDnte Carlo模拟的实现过程入手，首先通过对Monte Carlo方法原理的阐述来介绍该种方法。进一步结合具体的实例通过计算机进行模拟来解释Monte Carlo方法的具体实现过程。重点讨论在选择合理的数据生成过程的前提下，如何在Monte Carlo方法中减少模拟方差，从而提高估计精度，更好地应用这种方法来进行经济预测。
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| 关 键 词： | Monte Carlo模拟 经济预测 数据生成过程 方差控制 |
| 文章编号： | 1007-3116(2007)02-0058-06 |
| 修稿时间： | 2006年10月15 |
Monte Carlo Simulation and Variance Control in Economic Forecasting——Take the International Petroleum Price Forecasting as an Example |
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| FANG Guo-bin,MA Hui-min.Monte Carlo Simulation and Variance Control in Economic Forecasting——Take the International Petroleum Price Forecasting as an Example[J].Statistics & Information Tribune,2007,22(2):58-62,68. |
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| Authors: | FANG Guo-bin MA Hui-min |
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| Institution: | FANG Guo-bin, MA Hui-min (School of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu 233030, China) |
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| Abstract: | This paper begins with Monte Carlo simulation realization process.At first it introduces this method through the principle of Monte Carlo method.Further,using a concrete example to carry on the computer simulates to explain the practical realization of the Monte Carlo method.The key discussion is on how to reduce the simulation variance in the Monte Carlo method under the choosing of reasonable data production process.The purpose is how to improve the estimation precision. |
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| Keywords: | Monte Carlo simulation economic forecasting data generation process variance control |
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