保证率点值区间估计的Monte－Carlo方法

A Monte-Carlo Method for Interval Estimation of Firm Probability Point

提出了一种根据实测样本系列对保证率点值进行区间估计的Ｍｏｎｔｅ─Ｃａｒｌｏ方法。对于具有正态分布或对数正态分布的样本，首先推出总体参数的分布，然后用Ｍｏｎｔｅ─Ｃａｒｌｏ法生成总体参数系列，据此求得相应的保证率点值系列，最后通过经验分布推得在给定置信度下保证率点值的区间估计，本文还给出了一个算例。

A Monte-Carlo approach to the interval estimation of firm probability point based on real samples is presented in this paper.For ensemble with normal or lognormal distribution,the distributions of its parameters are found out,then its parameter samples are generated by the use of Monte-Carlo method.Based on it,the interval estimation of firm probability point under given confidence level is found through empirical distribution. A calculation example is given in this paper as well.