A vast area which includes generating results from computer models.

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2
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1answer
30 views

Run Many Small or a Few Big Simulations to Estimate the Mean?

I was just running some simulations on tossing a coin given certain conditions, to test out some ideas I had. I was trying to find the ratio $\frac{\mathtt{successful\ tosses}}{\mathtt{total\ ...
6
votes
1answer
218 views

Generate random numbers following a distribution within an interval in R

I need to generate random numbers following Normal distribution within the interval $(a,b)$. I know the function rnorm(n,mean,sd) will generate random numbers ...
5
votes
3answers
138 views

Simulation involving conditioning on sum of random variables

I was reading this question, and thought about simulating the required quantity. The problem is as follows: If $A$ and $B$ are iid standard normal, what is $E(A^2|A+B)$? So I want to simulate ...
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0answers
20 views

Evaluating the $H_0$ of a contigency table

I have a 2 way contigency table with variables $A=\{a_1,a_2\}$ and $B=\{b_1,b_2\}$. I have the observed cell frequencies $O_1=a_1b_1$, $O_2=a_1b_2$, $O_3=a_2b_1$ and $O_4=a_2b_2$. My null hypothesis ...
2
votes
1answer
25 views

Acceptance rejection method for a binomial distribution

I have a R-code for acceptance rejection method for a beta-distribtuion but would like to use it for a binomial(30, 0.4) distribution instead. Here is the code: ...
2
votes
1answer
39 views

Simulation of KS-test with estimated parameters

We know that the original KS-test has a limitation, requiring the Null hypothesis testing underlying distribution to be fully specified, rather than estimated. But in practice, we usually need to test ...
2
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0answers
22 views

Generating non-normal correlated data for mediation analysis?

For a simulation study I have to generate data according to a trivariate mediation model (Baron & Kennys causal step approach). Assuming $X$, $M$, and $Y$ are continuous variables of sample size ...
1
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1answer
25 views

Simulating outcome of 3 political parties

First I'm sorry I couldn't figure out the most accurate title for this question (suggestions welcome). Here's the case: I want to implement spinners like the ones on this page: ...
2
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0answers
25 views

Monte Carlo simulation of investment account

I'm trying to estimate performance of an investment account over 20 years. The question is, have I set up the Monte Carlo simulation correctly? I've used Excel. I've assumed 8% average return and 13% ...
2
votes
2answers
303 views

How to transform a normal random variable such that I can simulate normal samples between the range of 1 and 45?

How to transform a normal random variable such that I can simulate normal samples between the range of 1 and 45? Do I need to do a jacobian transformation ?
1
vote
2answers
68 views

How can I partition a distribution into two sub-populations with fixed bias? (simulation)

I am trying to simulate a selection model for a variable $Y$ dependent on covariate vector $X$, so that two groups/sub-sets $S=(0,1)$ of observations on $Y$ are created, which have a fixed difference ...
0
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1answer
30 views

Simulate data by using existing dataset

I have a complete dataset with input variables and response variables. I would like to perform a simulation where I give the input variables and generate randomly the response variables. Is there a ...
2
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0answers
35 views

What is the best way to simulate data for a linear regression model?

I am concerned with simulating data for a linear regression model. I need to control the means, variances, and correlations (covariances) between the predictors and the criterion variable. In ...
4
votes
1answer
54 views

Hyper-volume of the $\alpha$ contour of a multivariate Gaussian

I'm looking for the assymptotic ($n\rightarrow \infty$) value of (the log of the determinant of) the covariance of the $\alpha$% of observations with smallest Eucledian distance to the origin in a ...
0
votes
1answer
21 views

State-space model with strict positive values

I've got a random process of positive observations. I've built a state space model (following an ARMA(1,3) structure), found the parameters that fit the process observations through log-likelihood ...
0
votes
0answers
51 views

How to simulate survival times using true base line hazard function

I want to simulate survival times from the model $\lambda(t|X_1,X_2) = \lambda_0(t) \exp(\gamma_1X_1+\gamma_2X_2)$ where covariates are given by $X_1\sim$Binomial(1,0.5), $X_2\sim$Uniform(0,1), the ...
3
votes
1answer
189 views

Simulate a random number of sums of random variables?

I'm trying to solve an exercise (not homework, and it does not come with solutions) that asks to provide an algorithm to simulate a probability $P(Y<y)$ and the expected value $E[Y]$ of a random ...
5
votes
1answer
72 views

Simulating Convergence in Probability to a constant

Asymptotic results cannot be proven by computer simulation, because they are statements involving the concept of infinity. But we should be able to obtain a sense that things do indeed march the way ...
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0answers
17 views

simulate ANOVA data to follow a specific eta-squared

I am simulating RM-ANOVA data with three treatment conditions (one-way within subjects designs). I would like to be able to add an effect to the data so that eta-squared has a specific value. ...
0
votes
0answers
21 views

G/G/1 Simulation help

i am a complete nooby in statistics, therefore the question i am about to ask may sound very unprofessional warning :) so, we have a task to simulate a G/G/1 queueing system for particular parameters ...
0
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0answers
39 views

k-fold classification or re-run experiment?

I have a classification model which is slow to run. I generate test data with 3 classes (the real data has 21 at the moment and growing), and I have run the classifier and I get a confusion matrix ...
1
vote
2answers
35 views

Match Right Skewed Distribution to Normal

I am running a simulation. One of my parameters is sampled from a normal distribution. I would like to perform a sensitivity analysis using a right skewed distribution. This is what I had hoped to ...
2
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0answers
48 views

Simulate censored data cox model

I would like to simulate interval-censored data in a Cox model. In the R package intcox I found the following code: ...
0
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1answer
29 views

How do I calculate the p-value in a gene enrichment analysis, using parametric and non-parametric methods?

I have a list of 20 QTL from an experiment involving a certain phenotype related to bone development. Of all the candidate genes within the 20 QTL intervals, 5 are associated with a certain disease ...
1
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1answer
39 views

Simulating Multinomial Logit Data with R

I'm looking to generate fake data to fit a multinomial logit in R? Any code/suggestions on material to look at would be very much appreciated... Thanks.
3
votes
1answer
176 views

Truncate lognormal distribution with excel

I have a dataset where I extract the mean and the standard deviation, I want to generate a new synthetic dataset which is lognormal distributed based on the original dataset paramaters. Like a ...
0
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0answers
12 views

How many tests do I have to run for this case?

I have developed a method to estimate a certain value called "flow" from 10% of the total data received (the total data may change every time) but of course there is an error associated with my ...
0
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0answers
14 views

The estimation of variance in simulation

I am confused about the calculation of variance in a regression simulation. I can get the sample of the estimator from the simulation. So there are two ways to get the variance of this estimator: one ...
0
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0answers
59 views

How to simulate a etas spatio-temporal model?

My question is how simulate the spatio-temporal ETAS point process (a point process used for earthquake prediction) defined by a conditional intensity function. More precisely: let $\mathbf{V}$ be a ...
1
vote
0answers
84 views

simulate multi-level data for repeated measurements

I am trying to simulate multi-level data for repeated measurements. My design includes just one within subjects factor, no between-subject factor. Consider the case of three treatment conditions with ...
2
votes
1answer
89 views

Generating Random Variables with given correlations between pairs of them:

I want to generate 2 continuous random variables Q1, Q2 (quantitative traits) and 2 binary random variables Z1, Z2 (binary traits) with given pairwise correlations between all possible pairs of them. ...
4
votes
1answer
168 views

Simulate regression data with dependent variable being non-normally distributed

For regression analysis, it is often useful to know the data generating process to check how the used method works. While it is fairly simple to do this for a simple linear regression, this is not the ...
0
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0answers
46 views

kalman filter: difference between simulation and forecasting

I know the question can sound trivial, but I can't get the difference between simulation and forecasting. If I've understood well, a forecast of $k$ periods ahead, starting from period $T$, is ...
2
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1answer
29 views

Variance regarding to the exponential of uniform distribution

If X has a uniform distribution of [0,1], and f(x) = e^X and g(x)=2^X. I generated 1000 values for X and applied to both two functions. And I calculated the variance after the transformation. The ...
3
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0answers
66 views

How to simulate data with values of Mardia's Kurtosis?

I have two (related) questions regarding the simulation of correlated, non-normal data with a user-specified value of Mardia’s 1970 multivariate kurtosis. (1) It is very common in my field to use ...
0
votes
1answer
12 views

Representing confidence ratings on choices as a variable or as part of the choice alternative in Mixed Logit Simulation

I am estimating a mixed logit model with hierarchical Bayes procedures to deal with my categorical data. I am wondering if I'm representing the data correctly. The data comes from experiments where ...
0
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0answers
40 views

Monte Carlo Optimisation

I have been doing a LOT of research about this but I can't figure out exactly how to do it. I need to find a problem that can be solved using Monte Carlo Optimisation (it is important that it is an ...
0
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1answer
22 views

Definiton of the distribution of estimators, sampling and simulation methods

I have a question regarding the definiton of estimators. In the german wikipedia it says that the distribution is determined by g($X_1,...,X_n$) where by g is the estimator function and $X_1,..X_n$ ...
9
votes
1answer
134 views

Why use the parametric bootstrap?

I am currently trying to get my head around some things concerning parametric bootstrap. Most things are probably trivial but i still think i may have missed something. Suppose i want to get ...
8
votes
1answer
134 views

When/why does the central tendency of a resampling simulation markedly differ from the observed value?

Should one always expect the central tendency (i.e., mean and/or median) of a bootstrapped sample to be similar to the observed value? In this particular case I have responses that are distributed ...
0
votes
1answer
43 views

Generate predictions from a logistic regression model reflecting the uncertainty of the model

I want to generate predictions from a fitted logistic regression model that reflect the uncertainty of the model (within a classic frequentist framework). To clarify, my objective is not to ...
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0answers
68 views

How does the sim() function in the arm package determine non-informative priors?

The arm package includes the sim() function. On its R help page it states: ...
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0answers
31 views

Monte Carlo for DOE Power Calculation When Performance is Unknown

I have been wanting to get away from using power calculation tools (JMP, Lenth) in favor of Monte Carlo techniques to determine the a-priori power to observe factor level effects in a DOE. I am ...
1
vote
1answer
56 views

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: ...
0
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0answers
78 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.
0
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0answers
51 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 ...
0
votes
0answers
40 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
41 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 ...
3
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1answer
74 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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0answers
23 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 ...