All Questions
Tagged with simulation estimation
47
questions
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Extended Hidden Markov Models (HMM) parameter estimation
For simpler HMMs, we can use algorithms like Viterbi training (not decoding) or Baum Welch to estimate the parameters that best describe the observed data.
How do we do the same when using a more ...
- 63
2
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1
answer
36
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What parameters play a role in the fluctuation of results during simulations?
I have done many simulations under the null hypotheis to test the alpha level of a test which follows a normal distribution.
However, the results obtained vary by 2-3%, which seem to me a lot when ...
- 613
1
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1
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116
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How understand "All the methods of estimation are invariant under linear transformations of the data"?
In this paper, the authors compare different methods of fitting generalized extreme value distribution (such as the maximum likelihood method). For example, the Gumbel distribution:
$$
F(x)=\exp\left(-...
- 747
3
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1
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71
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Simulating and estimating a mixed effects model: poor estimates of time fixed effects
I am simulating data from a basic mixed effects model
$$
y_{it}=\alpha_i+\beta_t+\gamma x_{it}+\varepsilon_{it}.
$$
I then estimate a corresponding fixed effects model on the simulated data. I get ...
- 68.6k
0
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1
answer
32
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Failing to recover covariance parameters of random effects in a a linear mixed model simulation
I am simulating data following this scenario: In a farm, the owner is interested in studying the effect of litter size on the weight at birth ($wb$) of some chickens. A random sample of litters (eggs ...
1
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1
answer
75
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Failing to recover correlation parameter from a linear fixed effects model with correlated errors simulation
I am trying to simulate some data from a linear fixed effects model with correlated errors. The model is quite simple, inspired in a pre-post study.
$$Y_i|X_i=x_i\sim N(x_i\beta,\Sigma_i)$$
where $Y_i=...
3
votes
1
answer
391
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How to verify the convergence rate in Monte Carlo simulation?
Given a iid random samples $X\sim N(\theta,1)$, we have a unknown parameter $\theta$ and its estimator $T_n=T_n(X_1,\dots,X_n)$. If we have strictly proved that the convergence rate is
$$
|T_n-\theta|...
- 747
3
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1
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298
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Can I say that $T_n$ is a consistent estimator of $\theta$ by Monte Carlo simulation under this setting?
Given a iid random samples $X\sim N(\theta,1)$, we have a unknown parameter $\theta$ and its estimator $T_n=T_n(X_1,\dots,X_n)$. If we have strictly proved that $T_n$ is a consistent estimator, can ...
- 747
1
vote
1
answer
119
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Determining when the first point in a simulation will exceed a certain value
I have the following question about determining when the first point in a simulation will exceed a certain value:
Suppose you have two random variables "a" and "b" - let's say that ...
0
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0
answers
46
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The Role of Summary Statistics
I am reading about this algorithm called "ABC" (Approximate Bayesian Computation).
https://cran.r-project.org/web/packages/abc/vignettes/abcvignette.pdf (page 3)
Over here, it makes mention ...
1
vote
1
answer
50
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Multiple linear regression: true effect and variable specific variation
I intend to simulate a population with a single outcome variable and multiple explanatory variables, some of which do have a true effect on the outcome variable and some of which do not. The idea is ...
6
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1
answer
104
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Estimate $E[X_1 | X_1>X_2>\cdots>X_k]$ with simulation
Suppose Random variables $(X_1,X_2,\cdots,X_k)$ are mutually independent, but not identically distributed. I want to estimate $E[X_1|X_1>X_2>\cdots>X_k]$ with simulation. I am wondering if ...
- 657
1
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1
answer
116
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While simulating the value of a double integral , why do we need to draw different samples everytime?
Suppose I want to simulate the value of the integral $\int_{0}^{1} \int_{2}^{3} 2xy \ dx dy$ using Monte Carlo methods.
So, now, I draw a random sample from $U_1,U_2,...,U_n$ from $U(0,1)$ and for ...
- 217
1
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1
answer
678
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covariance of mean estimate via Monte Carlo approximation
Please read the following explanation:
Let's consider an example where we want to estimate the mean of a
random variable $x$. Let's call this a Monte Carlo approximation
$\hat{\mu}$. If we ...
- 337
1
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1
answer
182
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Is it necessary to simulate unbiased coin in using frequentist approach for determining if coin is unbiased?
I’m trying to determine the best way to detect if a coin is unbiased, given some desired alpha. I understand basic probability/statistical inferencing, but there’s some information out there that ...
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