monte carlo simulation

A repeated-random-sampling simulation design used to study forecast-model behavior under controlled settings.

• Types

  simulation method, evaluation method

• Aliases

  simulation

• Contributors
  박진우 (dztg5apj7m) extractionB (s683577b42) reviewAnonymous (12632b8b5f) review

• Using the Entire Yield Curve in Forecasting Output and Inflation

  16 citations

• Simple numerical examples and Monte Carlo simulation are used to illustrate the advantage of supervised CF factor models over unsupervised CI factor models.

• No direct concept-to-concept edges are published yet.

• combining forecasts (cf) factors

  factor model, method1 shared papers
• combining information (ci) factors

  factor model, method1 shared papers
• principal components (pc)

  statistical method, factor extraction method1 shared papers
• nelson–siegel (ns) factor model

  factor model, time series model1 shared papers
• out-of-sample forecasting

  evaluation setting, forecasting task1 shared papers
• monthly us output growth

  forecast target, time series1 shared papers
• monthly us inflation

  forecast target, time series1 shared papers