Tagged Questions

0
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0answers
75 views

Value at risk by Monte Carlo using generalized Pareto distribution

I have created a VBA program to calculate VaR by using Monte Carlo, I have simulated Brownian Motion. This method might be ok for 100% equity portfolio, but let's say this portfolio may have fixed ...
-1
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0answers
117 views

How to solve/compute for normal distribution and log-normal CDF inverse? [duplicate]

Possible Duplicate: Calculating percentile of normal distribution Edit: I think the hint is Box-Muller transformation. Any ideas? I am trying to find the inverse of normal CDF. This is ...
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0answers
106 views

Nonlinear mixed methods, Monte Carlo simulation and appropriate use of weighting for population distribution estimation

Note: I do not have access to SAS so I am trying to interpret the code off the macro syntax. I have frequency-weighted data of nutrition intakes. The frequency ...
2
votes
3answers
1k views

Writing a Monte Carlo simulation in R

I am trying to write a Monte Carlo simulation in R and I am really stuck! I want to know the probability distribution of a random person in the UK becoming ill from eating a cooked 100g piece of ...
2
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3answers
1k views

Most suitable distributions for modeling Monte Carlo Simulations

This may sound like a noob question but I'm unable to find any 'good' resources/examples on the same. The basic question is this: Most variables, depending on the problem will follow certain types of ...