mean excess function monte carlo simulation

6 views (last 30 days)
If I have i.i.d random variables on U~(0,1)
(a) Yi = Xi, and Mn = max{Y1,...,Yn}
(b) Ui = 1/Xi, and Mn = max{U1,...,Un}
I understand that that (a) follows the exponential distribution e^u and that b follows e^(-1/(u+1)) if u>-1
How would I use Matlab to simulate 10000 realisations of the two random variables and how estimate the mean excess function with the Monte Carlo method as a function of u. I would like to plot these results against the true result for the mean excess function e(u) = E(X−u|X>u).
So far I have but I'm not sure if I'm correct.
%For a 10000 simulations
Im not sure where to go from here.

Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by