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Lecture 2: Monte Carlo Simulation 2.1 Monte Carlo …

2-4 Lecture 2: Monte Carlo Simulation The estimator D N is just a sample average and each D j turns out to be a Bernoulli random variable with parameter p= P(Reject H 0j = 1) = by equation (2.3). Therefore, bias D N = E(D N) = p = 0 Var D N = p(1 p) N = (1 ) N

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