A vast area which includes generating results from computer models.

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Simulating a bimodal biased IV estimator

How can I simulate a bimodal biased IV estimator? The common unimodal heavy-tailed biased estimator would be something like this: ...
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13 views

Monte carlo Finance Project [closed]

Hi I have a project for my Master Course and I am trying to find topic for the Project Ideally I would like a finance oriented topic. My problem is that most of the literature is difficult to handle ...
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20 views

How to do Simulation for Time Series Model using SPSS

I am totally new to SPSS. I have a question on Simulation. Can we apply simulation for time series model using SPSS? Thanks in advance.
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31 views

Proving that Markov Chain Monte Carlo converges

I actually asked the same question in http://math.stackexchange.com/ as well at http://math.stackexchange.com/questions/753105/proving-that-markov-chain-monte-carlo-converges but since the question is ...
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26 views

Generate data based on existing data and their distribution

Consider the following dataset: patient id, gender, age, systolic blood pressure, diastolic blood pressure 1, male, 66, 120, 80 1, male, 66, 119, 83 2, female, 45, 119, 90 3, female, 55, 120, 19 ...
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1answer
34 views

Reconcile difference in answers for conditional probability

Disclaimer: I am a mechanical engineer, not a statistics guy, so I sometimes miss things. Background: I have a copy of "Applied Probability Models with Optimization Applications" by Sheldon M. Ross ...
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1answer
55 views

Simulate the distribution of the median

I have done part(a); now I need to do part(b): I want to simulate the distribution of the median $M$ using R. I don't know how to work it out. And for part(c), do I need to use R as well? This is ...
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19 views

AR(2) simulation problem

Take covariances $Cov[X_{t-2},X_{t}]$, $Cov[X_{t-1},X_{t}]$ and $Cov[X_t,X_t]=Var[X_t]$ and calculate the parameters for the AR(2) process ($a_1$, $a_2$ and $\sigma^2$ (the variance of the error ...
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10 views

Calculating Bias from Cox PH model

I am using COX PH model to fit a lifetime data set and estimating parameters. By the by I am also simulating data and trying to find out estimates of parameters. Now I want to calculate bias and ...
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2answers
46 views

Can effective sample size in MCMC simulation be greater than the actual sample size?

I used coda package's effectiveSize() to find the effective sample size of my MCMC simulation. My effective sample size is greater than the actual sample size, e.g. ...
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19 views

How Can I Simulate Repeated Significance Testing in R

I work in marketing, frequently running A/B tests on websites to determine which variation is best to serve to site visitors. I would like to be able to run a simulation that highlights the perils of ...
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0answers
56 views

Understanding the effect of each parameter in a Monte Carlo Simulation [duplicate]

I am running a Monte Carlo simulation where I sample from Normal Distributions associated with parameters E11, E22, and GIC to get the plot in red which can be seen in the figure below. The figure ...
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32 views

How to create a multivariate Brownian Bridge

It is known, that a standard multivariate Brownian bridge $ y(\mathbf u) $ is a centered Gaussian process with covariance function $$ \mathbb E(y(\mathbf u) y(\mathbf v)) = \prod_{j=1}^d (u_j \wedge ...
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21 views

Autoregressive Markov chain simulation and the likelihood ratio test for Markov property

I am trying to estimate a Markov chain of second order (Markov chain that fulfills $P[X_t|X_{t-1},X_{t-2}]=P[X_t|X_{t-1},X_{t-2},...,X_{t-p}]$) using an AR(2) process. Once I have simulated the ...
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1answer
42 views

R: generate binomial sample with (pretty) exact probability

When I simulate normal data in R, I make sure that the sample have the exact mean and sd of the sampling distribution: x = scale(rnorm(n))*sd + mean. I want to do ...
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142 views

Trying to do a simulation in R [migrated]

I'm pretty new to R, so I hope you can help me! I'm trying to do a simulation for my Bachelor's thesis, where I want to simulate how a stock evolves. I've done the simulation in Excel, but the problem ...
5
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90 views

If the distribution is bimodal, does p-value mean anything?

P-value is defined the probability of obtaining a test-statistic at least as extreme as what is observed, assuming null-hypothesis is true. In other words, $$P( X \ge t | H_0 )$$ But what if the ...
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25 views

Simulating data for repeated measures ANOVA

I am currently working on a simulation study in which I compare two methods for analysing data from a repeated measures design. Let's say there are n subjects, and each subject goes through i ...
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1answer
71 views

Rejection sampling from a normal distribution

I am running a Monte-Carlo simulation and I sample from various normal distributions. I was just wondering, is there a way by which I can increase the probability of selecting a point from the tails ...
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35 views

Sample size calculation for logistic regression using simulations

I want to find the sample size for logistic regression where I have a covariate with 15 levels and the covariates interacts with time, which means that the effect of the covariates is different for ...
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0answers
14 views

Choosing the values of a proper subset of features to maximise regression tree output

Suppose I have a regression tree and feature set $X$. Suppose that the feature set is composed of $X:=\{X_0,X_1,...,X_{100}\}$, where each $X_i \sim N(0,\sigma^2)$. Suppose that ...
4
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1answer
86 views

Method for simulation for random variables with a particular probability density function

Suppose one has an expression for the probability density of a random variable- how does one simulate for the particular random variable. I understand that this isn't an issue for probability density ...
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0answers
72 views

Simulate predicted probabilities after a logistic regression

I'm generating predicted probabilities (propensity scores) in Stata using the predict command. The basic structure of my code looks like this: ...
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1answer
20 views

Comparing fits in simulation for power analysis

I have the following data (just an small example here). I want to know effect of time and ecotype over height. ...
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15 views

Simulating returns

I would like to simulate 2,000 sets of monthly security returns based on 5 years historical data. Prices are distributed non-normally, but returns are near-normal (minimal skew, kurtosis). Regarding ...
3
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1answer
72 views

Summarising simulations on a transformed parameter

Let $\theta > 0$ be some model parameter for which properties (bias, ...) of an estimate are studied via simulations. For a given data set, an estimate $\hat{\theta}_i$ of $\theta$ can be ...
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1answer
30 views

sampling for estimation - using random numbers - homework help

I have a figure like so : Now the question asks to 1) generate 100 samples of iid - 2D uniform random variables in the unit-square. 2) count how many samples generated fall within the quarter ...
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26 views

Comparing predictions from different mixed models

In my analysis I am running two versions of the same linear mixed model, the only difference is that in one model the response variable is observed and in the second the response variable is ...
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2answers
87 views

How to generate Normal variables parts of which are correlated (in R)?

My second attempt to explain the question. Start with a vector of numbers V1 of length M. The elements of V1 form a Normal distribution. Take (any) N elements from this vector. Generate a replica of ...
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2answers
28 views

Choosing a distribution to deal with over-dispersion

I'm working on a life insurance problem: trying to simulate the total dollar amount of claims in a year. To do this, I have a record for each person that contains their amount of insurance and an ...
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1answer
99 views

How to simulate only stationary AR(1) with φ = 0.9?

I am interesting in simulating AR(1) processes with 0.9 parameter and n = 10. The itterations should be 10000. When I was trying to run the program it gave me an error in the estimation procedure. ...
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22 views

How can I simulate runtime data containing workflows in R?

I am a PhD student, and I am trying to construct a data set to use for proof of concept for my research. However, I am not sure how to construct the model to simulate the data in R. I want to ...
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27 views

Why does this simulation of prediction accuracy and volatility returns weird results?

This is a simulation of the effects of prediction accuracy and volatility but it's results show that accuracy jumps drastically around a change in decimal points for the volatility. The output shows ...
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1answer
65 views

How to do simulation of Probit link?

How do you solve the following problem? A Simulation Study (Probit Regression). Assume $y|x\sim {\rm Binary}(p)$, where $p= E(y|x)$, and $Φ^{-1}(\pi)=-1+5.1x_{1i}-0.3x_{2i}$ Generate data ...
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1answer
65 views

Comparing simulated and actual data

Say I have a simple linear regression with observed values of y y = a + bx I then have 1000 simulations whereby I generated y randomly. (It's not a matter of reshuffling y; I generated y through a ...
3
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1answer
87 views

Generate two variables with precise pre-specified correlation

I want to generate two variables with (pseudo-) random numbers with an exact pearson's r. How do I do that? Python and/or R solutions would be nice! I am able to generate random data that ...
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16 views

How to run a Simes test?

I'm looking to set up a Simes test in R. I'm trying to show that a Simes test is conservative with when a positive correlation exists. I know how correct the p-values using the p.adjust function, ...
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76 views

Simulation for power analysis for higher order repeated measures ANOVA

I am attempting to find a way to perform a power analysis for a higher order repeated measures ANOVA where all factors are within-subjects (i.e., there are no between-subjects factors). I have looked ...
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52 views

Analyzing type I error rate in a simulation study using ANOVA-like methods

I've run a simulation study in order to determine type I error rate of a statistic.My simulation design includes threes factors as sample size (4 levels), test length or number of items (3 levels) and ...
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1answer
105 views

A priori power analysis for generalized linear mixed-effects model

Let's say I have a data set (with a binary DV) which I used a generalized linear mixed-effects model on. I am currently trying to run a simulation-based power analysis to determine the sample size I ...
2
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1answer
62 views

Testing for equality of multivariate distributions

I have two distributions $F$ and $G$ that I conjecture to be identical, mathematically. Essentially, before investing time in mathematically proving that $F$ and $G$ are equal, I'd like to sanity ...
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19 views

Multiplying values and working with probability

I have some software that calculates a lot of probabilities. I thought it would be interesting to look at what happens with my simulation if I increase each probably by a factor of 'x'. So far I've ...
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47 views

Probabilistic Modeling based on aggregate finite element results

I have results from 50 experiments performed. The only outcomes I have are structural failure, or no structural failure (go or no-go). My input variable is an external load. Say my structure failed x ...
2
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30 views

Statistical tests for comparing simulation behavior to real world behavior

In summary: given confusion matrices (TP/TN/FP/FN) from 8 runs on real data and x runs on simulated data, show that the results from simulated data behaves similar to that of the real data. More ...
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64 views

Simulate missing data for multivariate distribution?

(Following the private request from a more senior CV member, I am editing this question to make it more readable and comply with CV standards). I am looking for a method to simulate multivariate, ...
4
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1answer
106 views

Accept/reject for beta distribution

I am required to show that the following accept/reject algoritmh produces observations from a beta distribution with parameters $\alpha$ and $\beta$. Generate $U_1$ and $U_2$ iid uniform(0,1) ...
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45 views

Are my estimates of parameters of geometric brownian motion correct?

I wrote a simulation of a geometric Brownian motion which works like this: ${ t }_{ i }-{ t }_{ i-1 } \sim Exp(\lambda )$ ${ Z }_{ i }\sim N(0,1)$ ${ Y }_{ i }\sim { e }^{ \sigma \sqrt { { t }_{ i ...
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35 views

Simulation for model checks for sample size

In the book Bayesian and Frequentist Regression Methods, Wakefield notes that estimators for coefficients in a linear model will be normal if the error terms are normal or if the sample size is ...
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43 views

Multiparameter log-likelihood function in R and power analysis (by using simulations)

I would like to estimate power of the following problem. I am interested in comparing two groups that both follow e.g. Weibull distribution. So, group A has two parameters (...
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49 views

Help Simulating Random Effects in SAS

I'm trying to create a simulation of drug concentration based on the dose of a drug given. I have some preliminary data and I used a random effects model to analyze the relationship between ...