mean excess function monte carlo simulation

1 回表示 (過去 30 日間)
jacob Mitch
jacob Mitch 2020 年 1 月 15 日
If I have i.i.d random variables on U~(0,1)
(a) Yi = Xi, and Mn = max{Y1,...,Yn}
(b) Ui = 1/Xi, and Mn = max{U1,...,Un}
I understand that that (a) follows the exponential distribution e^u and that b follows e^(-1/(u+1)) if u>-1
How would I use Matlab to simulate 10000 realisations of the two random variables and how estimate the mean excess function with the Monte Carlo method as a function of u. I would like to plot these results against the true result for the mean excess function e(u) = E(X−u|X>u).
So far I have but I'm not sure if I'm correct.
%For a 10000 simulations
result1=rand(10000,1);
Im not sure where to go from here.

回答 (0 件)

カテゴリ

Help Center および File ExchangeMonte-Carlo についてさらに検索

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by