Maintaining symmetry of simulated likelihood functions
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Maintaining symmetry of simulated likelihood functions. / Andersen, Laura Mørch.
Institute of Food and Resource Economics, University of Copenhagen, 2010.Research output: Working paper › Research
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TY - UNPB
T1 - Maintaining symmetry of simulated likelihood functions
AU - Andersen, Laura Mørch
PY - 2010
Y1 - 2010
N2 - This paper suggests solutions to two different types of simulation errors related to Quasi-Monte Carlo integration. Likelihood functions which depend on standard deviations of mixed parameters are symmetric in nature. This paper shows that antithetic draws preserve this symmetry and thereby improves precision substantially. Another source of error is that models testing away mixing dimensions must replicate the relevant dimensions of the quasi-random draws in the simulation of the restricted likelihood. These simulation errors are ignored in the standard estimation procedures used today and this paper shows that the result may be substantial estimation- and inference errors within the span of draws typically applied.
AB - This paper suggests solutions to two different types of simulation errors related to Quasi-Monte Carlo integration. Likelihood functions which depend on standard deviations of mixed parameters are symmetric in nature. This paper shows that antithetic draws preserve this symmetry and thereby improves precision substantially. Another source of error is that models testing away mixing dimensions must replicate the relevant dimensions of the quasi-random draws in the simulation of the restricted likelihood. These simulation errors are ignored in the standard estimation procedures used today and this paper shows that the result may be substantial estimation- and inference errors within the span of draws typically applied.
M3 - Working paper
T3 - FOI Working Paper
BT - Maintaining symmetry of simulated likelihood functions
PB - Institute of Food and Resource Economics, University of Copenhagen
ER -
ID: 33022256