Monte Carlo

Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation

Numerical standard error (NSE) is an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. We review standard methods for computing NSE, and perform a Monte Carlo experiments to compare …

NSE: Computation of Numerical Standard Errors in R

NSE is an R package for computing the numerical standard error (NSE), an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. The package provides a set of wrappers around several R …