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

Peter Winker and Fang Kai-Tai

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 1999, vol. 218, issue 1-2, 215-228

Abstract: 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.

Keywords: Monte Carlo; quasi-Monte Carlo; randomness; simulation; pseudo random numbers; Monte Carlo; quasi-Monte Carlo; Zufall; Simulation; Pseudozufallszahlen; Monte Carlo; quasi-Monte Carlo; randomness; simulation; pseudo random numbers (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/jbnst-1999-1-212 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:218:y:1999:i:1-2:p:215-228

DOI: 10.1515/jbnst-1999-1-212

Access Statistics for this article

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) is currently edited by Peter Winker

More articles in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) from De Gruyter
Bibliographic data for series maintained by Peter Golla ().