Monte Carlo Approximations for Low Moments of Order Deviates from Arbitrary Continuous Distribution

Cairo University Statistics Working Paper

18th Annual Conference on Statistics & Modeling in Human & Social Science

9 Pages Posted: 28 Aug 2006

See all articles by Abdel-Hameed Nawar

Abdel-Hameed Nawar

New York University (NYU) - Department of Economics; Department of Economics - Faculty of Economics and Political Science - Cairo University

Abstract

A simple and readily computable algorithm is developed for approximating the low moments of order deviates from any continuous distribution. The results are compared with those obtained from exact closed form moments, obtained from quadrature as well as other non-Monte Carlo integral computations.

Keywords: Recurrence, Monte Carlo Integration, Quadrature, Inverse Probability-Integral, Transformations with Multiple Roots

JEL Classification: C15; C63; C87

Suggested Citation

Nawar, Abdel-Hameed, Monte Carlo Approximations for Low Moments of Order Deviates from Arbitrary Continuous Distribution. Cairo University Statistics Working Paper, 18th Annual Conference on Statistics & Modeling in Human & Social Science, Available at SSRN: https://ssrn.com/abstract=926590

Abdel-Hameed Nawar (Contact Author)

New York University (NYU) - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States

Department of Economics - Faculty of Economics and Political Science - Cairo University ( email )

Cairo University
Giza, 12613
Egypt

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