A Data-Driven Approach to Multivariate Monte Carlo Simulation

digital

Articolo

Rivista

STATISTICA & APPLICAZIONI

Sezione

Online First | Open Access

Titolo

A Data-Driven Approach to Multivariate Monte Carlo Simulation

Autori

Mahfuza Khatun, Sikandar Siddiqui

Editore

Vita e Pensiero

Formato

Articolo |

Pdf

Online da

02-2023

Doi

10.26350/999999_000050

Issn

1824-6672 (stampa) | 2283-6659 (digitale)

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Descrizione Commenti dei lettori

We describe a model-free, fully data-driven approach to simulating random draws from a continuous multivariate distribution. The proposed technique is an extension of the smoothed bootstrap which explicitly accounts for local differences in the dispersion of individual data points in the sample. Results from a number of simulation experiments suggest that in many cases, the procedure presented strikes a favourable balance between the conflicting objectives of adequately reflecting key characteristics of the underlying distributions and smoothing out the gaps between the individual data points in the sample. An exemplary application indicates that the proposed procedure can be used for model selection purposes by comparing competing specifications of a given regression model with respect to their out-of-sample prediction quality.

keywords

Smooth Bootstrap, Simulation, Model Selection, Model Uncertainty

Biografia degli autori

Mahfuza Khatun: Jahangirnagar University - Department of Finance & Banking - Savar - Dhaka - Bangladesh (e-mail: mahfuza02@juniv.edu)
Sikandar Siddiqui: Deloitte Audit Analytics GmbH - Frankfurt, German (e-mail: siddiqui@web.de)

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