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亚利 · 2023年05月21日

理解的问题

  1. FRM I
  2. Quantitative

NO.PZ2020011101000043

问题如下：

What is the main difference between a simulation and the bootstrap?

解释：

A simulation uses draws from a specific distribution to simulate the shocks and other quantities in a model error. A simulation requires a fully specified model that provides the distribution of all random quantities. A bootstrap uses random sampling from the observed data to produce a new dataset that has similar characteristics. In a bootstrap, the random samples are used to generate indices when selecting the data to include in the bootstrap sample.

是否可以理解为simulation是总整体分布中抽取样本进行估计，而bootstrap是从可见观察值中有放回重复抽样，使它有整体特征

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1 个答案

品职答疑小助手雍 · 2023年05月22日

同学你好，可以这么说吧，带上特点就是simulation其实带有一定的主观假设成分在总体分布里抽取样本；bootstrapping主要是为了扩充样本量，实际上放回重抽样增加了样本量但是这个新形成的样本是不是和整体近似是很难确定的，也是因为如此bootstrapping比较适用小样本。

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