# mean excess function monte carlo simulation

8 Ansichten (letzte 30 Tage)
jacob Mitch am 15 Jan. 2020
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
result1=rand(10000,1);
Im not sure where to go from here.
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