All Questions
Tagged with simulation random-variable
51
questions
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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
1
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1
answer
53
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Choosing a proposal density g(x) for $ f(x)= {\Large \frac{e^{x}}{(e-1)} }$ [closed]
In finding an proposal distribution function $g(x)$ for the following function:
$ f(x)= {\Large \frac{e^{x}}{(e-1)} }$ where $0 \leq x \leq 1$
Tested with $$x^2+1, 1/x+1$$ and other variations, but ...
- 31
2
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1
answer
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Why do confidence intervals width increase when sample size increases "a bit"?
I'll try to explain better. I sampled a LogNormal random variate and I extracted 12001 and 12002 samples (with same initial seed for Random Number Generator). In the first case the half width of ...
- 175
18
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3
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2k
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Expectation of the product of iid random variables
If we have iid random variables $X_1,X_2,...,X_N$ with $\mathbb{E}X_i=\mu$, is it true that $\mathbb{E}\prod X_i=\mu^N$?
I had no doubt that this is true, until I tried it out with Python, using ...
- 387
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36
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Is there any methodology to generate the non negative and non normal random data based on descriptive statistics of probability of lossing the game
I would like to generate non-negative random data (between 0 and 1) and non-normal. Is there any methodology to generate the random data based on the below distribution? Below are the descriptive ...
- 1,819
4
votes
1
answer
62
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Understanding a Gaussian Sampler
I recently learned that you can generate a Gaussian sampler from a uniform sampler. One such method is the Box-Muller Transform.
I naïvely implemented this transform in the following code:
...
- 165
3
votes
1
answer
101
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Significant bias introduced into simple simulation
Introduction
Service is allocated to an infinite source of customers i.e. there is always a service in progress. The duration of the $i^{th}$ service is generally distributed $\Delta_i \sim F_{\Delta}$...
- 213
2
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1
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32
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File Downloading Time Modeling
In my simulation model, I need to consider the time that is spent to download a file as a random variable. What is the best distribution for such a random variable? Is Log-Normal Distribution a good ...
- 123
1
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0
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41
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Generating random variates knowing the density function
Let's consider a random variable that is following the distribution with the density function as below:
$$f(x) = \begin{cases} \sum_{i=1}^{\infty} 3.5i(0.3)^{i-1}e^{-5ix} & \text{for $x>0$} \\ ...
- 604
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Calculating the sample cumulative distribution function for a Kolmogrov-Simulation test to examine the goodness of fit with given data [duplicate]
I have sample data for 'Times between successive crashes of a computer system' which is for a 6 month period and the data is given in hours.
The data in brief is : 1,10,20,30,40,52.....
I need to use ...
- 1
1
vote
1
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73
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Monte Carlo simulation for grouped averages [duplicate]
Assume we have $N$ random variables $X_1, \ldots, X_N$. As an example, assume that these random variables describe test scores of $N$ students. I am interested in finding the distribution of average ...
- 710
1
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1
answer
654
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Simulating realizations of joint Bernoulli distribution
Let $X$ and $Y$ be Bernoulli random variables with success probability $p$ and $q$ respectively, i.e.,
\begin{align*}
X = \begin{cases} 1 & \text{with probability $p$} \\ 0 & \text{with ...
- 447
7
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0
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61
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Simulate correlate random variables with given marginal distribution where one is always larger
Is it possible to simulate pairs of random variables with a given marginal distribution and population correlation where one random variable is larger than the other?
More formally, I need to simulate ...
- 2,672
1
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0
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32
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Cross validation on unbalanced datasets using a simulation approach on a subset of data
Within my field I often end up using linear regression to look at two variables, normally how some factor (e.g. size) changes through time. I'm increasingly coming across datasets that are unbalanced ...
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4
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3
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Simulating values from a random variable that is a sum of other random variables
$X$ is $\mathcal N(0,4)$, $Y$ is $\mathcal N(0,5)$, $Z = X + Y$
I need to simulate 1000 values for each of these variables, $X$,$Y$,$Z$.
I have simulated 1000 values for both $X$ and 1000 values for ...
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