Nematrian
/

Tail fitting, quantile interpolation [22]

Go to: Summary | Previous | Next   
Bullet points include: If using basic Monte Carlo or low discrepancy (Halton) then benefits look mixed for narrow quantile window but better for wider quantile window. Basic Monte Carlo. Errors seem very sensitive to random seeds. Possible benefit from forcing equal numbers of observations to be in each ‘quadrant’. Low discrepancy (Halton). Further smooths spread of data points. Relative appeal of quantile interpolation perhaps improves as simulation numbers rise

NAVIGATION LINKS
Contents | Prev | Next | Library

Desktop view | Switch to Mobile