Question: # 2 ( Conditional Monte Carlo vs . Stratified Sampling ) Suppose that Y is a binomial random variable with parameters n = 1 0
#Conditional Monte Carlo vs Stratified Sampling Suppose that is a binomial random variable with parameters and Suppose that, conditioned on is a normal random variable with mean and variance We want to use simulation to efficiently estimate
a Design a simulation algorithm that only generates iid random variables.
b Design a simulation algorithm that uses conditional Monte Carlo method. Clearly specify the estimator you are using. Calculate the variance of the conditional Monte Carlo estimator;
c Design a simulation algorithm that uses stratified sampling. Assuming that each stratum contains samples. Clearly specify the estimator you are using. Calculate the expected variance of this stratified sampling method.
d If we use the optimal number of samples for part c will your variance result change?
e Compare the variance reduction results of part b and part c against part a and explain why one is greater than the other.
Please provide python code. thanks
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