Questions tagged [monte-carlo]
Using (pseudo-)random numbers and the Law of Large Numbers to simulate the random behavior of a real system.
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Monte Carlo method for likelihoods ratio density estimation
I recently started reading Stephen Kay's Fundamentals of Statistical Signal Processing - Detection Theory (Volume II) and there is something I do not fully understand about likelihoods and hypothesis ...
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Subtraction of Monte Carlo integrals - Catastrophic cancellation
I am attempting to estimate a quantity $Q$ which is given by the difference between two functions of Monte Carlo integrals over some set of points $\{x_i\}_{i=1}^N$, call the estimator $\hat{Q}$:
$$ \...
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Bootstrap sampling to get monthly statistic from daily data
I have daily (iid) data for historic winter seasons: $d:$ (price, value, temperature, etc).
The "value" is actually a concave up function of "price" and the other covariates.
I'm ...
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Is it possible for some p-values to be impossible? (because statistic generated by parametric bootstrap is mostly the same value.)
I am using a parametric bootstrap/monte carlo hypothesis testing method to generate the null distribution of the log likelihood ratio statistic. However, I am worried I might be doing it wrong ...
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Unbiased test for homogeneity of means of exponenential samples
Given $K$ independent samples of $Y_{i1},\dots,Y_{in_i} \ \text{i.i.d.} \ \sim Exp(\lambda_i)$ with $i=1,\dots, K$ and $n_i$ the size of the $i$-th sample, is there any statistics with analytically ...
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Forecasting time series using simulations
Suppose we have a stationary time series $x_{1}, x_{2}, ..., x_{T}$. Goal is to forecast up to $T+h$, i.e., forecast $x_{T+1}, x_{T+2}, ..., x_{T+h}$.
Forecasting methodology:
Using econometric ...
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What makes a statistic valid for monte carlo simulation?
A while back I was reading Garland et. al. (1993) about studying whether two groups of animals, say herbivores and carnivores differ in their mean value for some trait, like the amount of territory ...
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How to get standardized coefficients of Monte Carlo method for indirect effects in lavaan/semTools?
I've run a path analysis using semTools. I'm interested to test indirect effects. I would like to report the results based on Monte Carlo confidence interval. However, the code ...
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P values non-significant but Monte Carlo confidence interval does not contain zero for indirect effects
I've run a path analysis using semTools. I'm interested to test indirect effects. The p values for all indirect effects were non-significant, but the Monte Carlo confidence interval for some of them ...
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Metropolis-Hastings algorithm doesn't converge to the global minimum
I calculated the total root mean squared error of 24 parameters that are estimated with metropolis hastings, I ran the algorithm for 100.000 iterations, and as the chain forward it reached a global ...
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Are the p-values obtained on the same sample using synthetic AA tests (Monte Carlo) independent values?
Let's say we have the following procedure.
We take a fixed sample of size n and perform the procedure 1000 time:
we divide (split) it equally into 2 groups;
we calculate p value using the F function (...
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Understanding how to evaluate the integral causal-effect expression
I have this expression
$$
p( Y \mid \text{do}(Z=z)) =
\int_{B, S, W, X} dBdSdWdX \ \ P(B | S) P(W | B, S) P(X | B, S, Z=z) \left[ \int_{Z'} dZ' P(Z'| B,S,W) P(Y | B, S, W, X, Z') P(S) \right]
$$
...
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Convolution with a pathological distribution
Problem definition
Consider the following random bivariate vector
\begin{equation}
\begin{aligned}
y&=z+v \\
z&\sim p_z(z;c) \\
v&\sim p_v(v)
\end{aligned}
\end{equation}
where $p_z$ ...
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Probability of chain of events over a finite set of event with no repetition
I'm trying to tackle a problem that I suspect resembles others I'm unfamiliar with. I would love pointers for further reading. The problem is as follows:
We have a finite set of actions we can take $\...
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Using Rao-Blackwell to improve the estimator of P(X/Y < t)
X and Y are independent N (0, 1) random variables, we want to approximate P (X/Y ≤ t), for a fixed number t.
The first part of the problem was to describe a naive Monte Carlo estimate. I described ...
