All Questions
Tagged with simulation monte-carlo
224
questions
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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 (...
1
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0
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70
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Should I use a one-sided or a two-sided confidence interval?
Context:
I am teaching a subject and I prepared a multiple-choice quiz for my students.
To have a feeling for which is an acceptable grade I decided to compute a baseline score, which is the score ...
- 566
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41
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Sample size in simulation and stopping criteria
I want to estimate the average of a random variable by simulation. Also, I want to estimate a proportion by simulation.
I know that there are formulas to calculate the minimum sample size so that the ...
- 789
7
votes
1
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537
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Understanding importance sampling in Monte Carlo integration
Introduction
I'm studying importance sampling and I'm trying to figure out by myself, with a couple of examples, what are the main benefits with respect to standard Monte Carlo integration.
I'm not ...
- 373
1
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2
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56
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Estimating error variance for simulated path analysis
I want to run a simulation using lavaan and simsem to determine the sample size to use in a study using path analysis. The ...
- 13
1
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0
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212
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Monte Carlo simulation vs. Discrete event simulation
I'm trying to understand the difference between a Monte Carlo simulation vs. a Discrete event simulation. I learned from googling( for eg.: https://bookdown.org/manuele_leonelli/SimBook/types-of-...
- 357
1
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1
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97
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Is there anything inherently wrong to use the Black-Scholes-Merton model to simulate BTC pricing rather than only using it for Options pricing?
My understanding of the Black Scholes model is that it can be used to simulate options pricing for stocks in traditional financial markets. But this article uses the model to forecast/simulate bitcoin ...
- 1,197
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43
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How do you sample from a Poisson distribution when the observed count is zero?
I have some data showing the count of deaths in a population. The data are stratified by age. For example, the data might show that at age 40 there were 30,000 years of observation and 300 deaths.
In ...
- 595
3
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25
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How to illustrate the validity of bootstrap with monte carlo simulation?
Suppose I have a random sample $S_n=\{W_i\}_{i=1}^n$ where $W_i\sim F $, and I have an estimator $\widehat{\beta}$ computed using this sample. I want to illustrate that the bootstrap approximation ...
- 2,966
2
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34
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Approximating an expectation of a log-product and another expectation
I am dealing with a variation of a standard problem. Given an objective function $O := E_{a \sim P_\theta(A)} [f(a)]$, we can calculate its gradient $\nabla_\theta O$ as follows:
$$\nabla_\theta O = ...
0
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261
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Monte Carlo simulations and Central Limit theorem
I am simulating the revenues of a portfolio of items using one input variable. This variable is randomly extracted from a normal distribution n times, where n is the number of Monte Carlo simulations. ...
- 21
5
votes
1
answer
201
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Sampling from the posterior with a constraint on the posterior mean
Background
Under certain assumptions we know that being given the posterior mean and a family of conditional distributions, we can uniquely determine the joint distribution. I quote one of the ...
- 540
0
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1
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115
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Monte Carlo simulations and sum of normal distributions
I am trying to predict the revenues of a portfolio of items. I want to simulate the revenues in a particular market situation in which they might increase. Each item's revenues is made up of 3 ...
- 21
1
vote
1
answer
25
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Which are the statistical methodologies to consider when examining study group death rates but without considering time to death?
I have a dataset for a group of 66,000 subjects diagnosed with a dangerous condition, and the time it takes for death to occur (the “event”) or to not occur (survival or “censored”). I am pursuing ...
- 857
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45
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Effect of Simulation Error on the Monte Carlo Estimator
Given a random variable $X$ with known pdf $f$ and some computer simulation model $g(x): \mathcal
R \rightarrow \mathcal R$, mapping samples $x \sim f$ to a scalar metric $g$, we can estimate the ...
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