A vast area which includes generating results from computer models.

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1answer
15 views

Confirming calculations with simulations?

This question may be a little abstract, but I would like to understand how to develop a mentality towards performing statistical simulations. For example: If I have a normal distribution, and I ...
0
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1answer
22 views

Correlation coefficients of a time series

I have 100 simulations of an ARMA(1,2) process, created with R is such a way: ...
0
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1answer
22 views

Simulation of time series with R [on hold]

I'm new on time series. I'm trying to solve an exercise on the simulation of an ARMA process. The problem is the following: Generate 100 simulations, each with n=60 elements of an ARMA(1,2) process ...
2
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1answer
29 views

Which distribution is correct in modeling conversion rate in a Monte Carlo

I am building a model for a Monte Carlo simulation that estimates the number of sales made for a door-to-door salesman. Looking at his historic success by city, it seems he converts about 80% +/- 20% ...
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0answers
20 views

What's the difference between Monte Carlo simulation and sensitivity analysis? [on hold]

What's the difference between the two? In what situations would you choose one over the other? What do they each output?
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0answers
22 views

why MSE increases as sample size increases in bayesian importance sampling

I used simulation in importance sampling method in bayesian estimation. the MSE increases as the sample size increases .. the no. of iteration is 1000 .. please help me how can I solve this problem?
4
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2answers
80 views

How to simulate censored data

I'm wondering how can I simulate a sample of n Weibull distribution lifetimes that include Type I right-censored observations. For instance lets have the n = 3, shape = 3, scale = 1 and the censoring ...
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0answers
17 views

ARIMA Simulation in R does not model data well

I have a time series that I wish to model with an ARIMA model in R. I computed the ARIMA model like so: arimaModel = arima(data, order = c(5,0,1)) When plotting ...
5
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1answer
64 views

Simulate a random variable having piecewise gamma failure rate

I am having trouble in simulating values for a random variable $X$ having a piecewise gamma failure rate: $$ \lambda_X(t) =\lambda_1(t)1\!\!1_{\lbrace t\leq t_0 \rbrace} + \lambda_2(t)1\!\!1_{\lbrace ...
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0answers
43 views

How to combine normal distributions to have a mixture with specified kurtosis

I want to generate random samples from Normal Distributions $N(\mu_i,\sigma_i)$ by fixing kurtosis parameters ($\beta$s), as I need to simulate data by varying $\beta$ for my problem. I am trying to ...
2
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1answer
46 views

Simulating random variables given partial distributions and correlation

After Monte Carlo simulations I obtained approximated distributions for X and Y. Now I want to add some form of correlation between them. To simulate random variables from a distribution the idea is ...
3
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1answer
46 views

Use of Poisson distribution to analyse distribution of individuals in space

Dytham 2010 suggests using the Poisson distribution to establish whether individuals are evenly distributed in space. Say we end up with a map of individuals in a study site that looks like the ...
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0answers
16 views

Why are my random effects averaging out to zero in my Monte Carlo Simulation?

I'm using SAS to conduct a Monte Carlo simulation for a linear mixed model of the form y = Bx + Zu + e, where B and Z are design matrices for the fixed and random effects, x and u, respectively and e ...
9
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4answers
179 views

Is this correct ? (generating a Truncated-norm-multivariate-Gaussian)

If $X\in\mathbb{R}^n,~X\sim \mathcal{N}(\underline{0},\sigma^2\mathbf{I})$ i.e., $$ f_X(x) = \frac{1}{{(2\pi\sigma^2)}^{n/2}} \exp\left(-\frac{||x||^2}{2\sigma^2}\right) $$ I want an analogous ...
2
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0answers
18 views

Application of Permutation Tests

I don't know how to post the question more formally. Therefore, let me introduce an example. Suppose you want to estimate the following regression: $n_i = f(x_i)+\beta \cdot 1[x_i = j]$, $n_i$ is ...
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0answers
18 views

How can I form an SDE with two Levy noises using the YUIMA package in R?

I'm trying to use the YUIMA package in R to simulate a two-dimensional process with two distinct Levy noises, but I can't seem to get it to work. I've searched online for documentation or examples ...
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0answers
10 views

Computing standard errors in EM using Louis method

Can someone assist on how to use the Louis method to calculate standard errors, i already have the code for for E- and M-steps.
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0answers
18 views

Predict Kaplan-Meier Curve from Hazard Ratios

For illustration purposes I want to plot some potential hazard ratios, based on a known proportional hazard model. For example, plot the known curve, then plot what the curve may look like with HR's ...
5
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1answer
183 views

Estimating Multilevel Logistic Regression Models

The following multilevel logistic model with one explanatory variable at level 1 (individual level) and one explanatory variable at level 2 (group level) : ...
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1answer
87 views

Generate three pairwise correlated random variables

I need to simulate three variables $A,B,P$ ~ $N(0,1)$ such that the Pearson correlations $r_{AB}=\operatorname{cor} (A,B)$ and $r_{BP}=\operatorname{cor}(B,P)$ are given. I need to repeat the ...
1
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0answers
63 views

Simulate from a dynamic mixture of distributions, honoring the tail

This question is a follow-up to this other question, brilliantly answered by Xi'an. I have a dynamic mixture of Weibull and GPD distributions (with a CDF Cauchy mixing function). The mixture is ...
0
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0answers
3 views

Rate of occurrence for a schedule

I'm currently doing a research of a classroom usage simulation. And I shall do something with a schedule which I should calculate the rate of classroom begin in a particular office hour. Let's say, ...
4
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2answers
276 views

Simulate from a dynamic mixture of distributions

I need to sample from the following mixture of two distributions: $h_{\vec{\beta}}(r)=c(\vec{\beta})[(1-w_{m,\tau}(r))f_{\vec{\beta_{0}}}(r)+w_{m,\tau}(r)g_{\epsilon,\sigma}(r)]$ where ...
5
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2answers
112 views

Simulating from Kernel Density Estimate (empirical PDF)

I have a vector X of N=900 observations that are best modeled by a global bandwidth Kernel density estimator (parametric models, ...
2
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2answers
103 views

Nontrivially simulated distributions

I'm learning Monte-Carlo approach in sampling. There I faced with ways of how to draw samples from given distribution. But can you give me an example of a distribution which can not be trivially ...
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0answers
20 views

Label permutation with cross-validation

I wanted to find out if my machine learning application is prone to overfit. I first did an actual analysis with three diffent classifiers, and then repeated the whole process a few hundred times with ...
4
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0answers
30 views

What is the equivalent for cdfs of MCMC for pdfs?

In conjunction with a Cross Validated question on simulating from a specific copula, that is, a multivariate cdf $C(u_1,\ldots,u_k)$ defined on $[0,1]^k$, I started wondering about the larger picture, ...
0
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1answer
102 views

Multilevel logistic regression : Simulation Study

I have written R codes for simulating data from Multilevel logistic regression model . I focus on the following multilevel logistic model with one explanatory ...
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1answer
40 views

Simulating Data from Multilevel Logistic Regression

I want to simulate data from multilevel logistic regression . I focus on the following multilevel logistic model with one explanatory variable at level 1 (individual level) and one explanatory ...
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2answers
41 views

averaging after n trials of monte carlo simulation or not? which is better statistically?

related to my job I want to code a realistic monte carlo simulation for availability, reliability and related sensitivity analysis. Scenario will be complex and there will be many parameters. What I ...
2
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1answer
34 views

I am looking for suggestions to illustrate (e.g. visualize) the results of a statistical simulation with many conditions

Without going into the details of a statistical simulation that I am working on, I would like to ask for advice for the following problem. I am simulating the mean sqaured error (MSE) of a set ...
3
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1answer
89 views

Simulating non-normal correlated data for Bayesian regression

I'm interested in generating data for three separate datasets where each contains three IVs and a single DV that are correlated with one another based on meta-analytic data. For example, I would like ...
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0answers
14 views

Independence test for two small, exhaustive, categorical variables

I've got a categorical variable $var$ and a binary variable $critere$, from a pretty small (n = 300) but exhaustive dataset (i.e., the dataset contains the whole population that I want to study). I ...
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0answers
27 views

Monte-Carlo Weather Simulation

I have a trained model that predicts some interesting things (like energy usage) based on the weather (temperature, humidity, etc.). I would like to run a monte carlo on the model and get a ...
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2answers
82 views

Plotting simulated data points from f(X)+e using R [closed]

Below is a chart from An Introduction to Statistical Learning by Hastie and Tibshirani. The authors use the chart to explain overfitting. In the chart, Y is the response variable and X is the ...
5
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1answer
53 views
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0answers
44 views

Using simulated data to check when patterns in GLMM residual plots are acceptable

I have run the following Poisson GLMM: ...
2
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1answer
49 views

How to simulate more data for machine learning?

I am attempting to analyze a small dataset using machine learning (SVM, binary problem). There are $103$ samples and $215$ variables (all variables are real numbers). Some of the variables (around ...
4
votes
1answer
59 views

How to simulate from a log-copula function?

Does anybody know how to simulate from a log-copula function? I'm trying to simulate $(u,v)$ from a log-copula function with the CDF: $$ C(u,v, a) = \exp\bigg(1-\big[(1 - \ln u)^a + (1 - \ln v)^a - ...
11
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1answer
176 views

Distribution of p-values - Binomial test

I heard that under the null hypothesis the p-value distribution should be uniform. However, simulations of binomial test in MATLAB return very different-from-uniform distributions with mean larger ...
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0answers
22 views

Can one use the RTS (Rauch–Tung–Striebel) smoother to simulate latent factors (as opposed to Carter and Kohn procedure)?

It is a little surprising that I have not found anything online in the literature which clarified this. I am working on an MCMC Gibbs sampling procedure to calibrate a "dynamic factor model". One of ...
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0answers
21 views

Simulation and sampling

I am working on a question which involves an experiment to determine relationship between IQ level and subject. He models the distribution of scores as a mixture of 2 normal distributions. Then he ...
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0answers
13 views

Simulate a variable taking into account plausible values

I have a variable “lifetime highest degree”, which has 4 categories. I need to simulate it on individuals from a database. For this simulation, I used parameters from multinomial logit regression ...
1
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1answer
43 views

Forecast bayesian GARCH model

I am using this package in R to do Bayesian estimation of GARCH models. I want to forecast $y_t$ (i.e. the mean equation), but it seems that the package has no built-in function for this. The model ...
1
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1answer
59 views

Simulate non-normal data for multiple regression

In a working paper, Luo (2011) analyzes generating non-normal data, using Fleishman power method. But this approach just can be used for specific skewness and kurtosis. I would like to simulate ...
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0answers
9 views

making replicate for fixed covariates from Generated samples from Poisson regression

I have a Poisson regression equation. $$ \mu_i= exp(\beta ^{_{0}}+\beta _1x_1i +\beta _2x_2i ), i=1,...,n $$ Say n=20. Covariates are chosen randomly from (0,1). And beta0=1, beta1=.01, beta2=.5. ...
2
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3answers
55 views

Question regarding form of a cost function while training a model

I am beginner in Machine Learning and I am very interested in modelling, simulation and all this jazz :) One of the basic idea I learned so far is the use Cost Function and its minimization in order ...
0
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1answer
28 views

simulation of endogenous skewed regressor

I have a question regarding endogeneity. I have to simulate a variable that is skewed and at the same time correlated with the error term, whereas the error term, as well as two other exogenous ...
1
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1answer
32 views

Create simulated path model dataset and save to CSV [closed]

I am teaching a multivariate stats class and wanted to give people some simulated datasets with mediation, path modeling, and other features. I know it's possible to run monte carlo studies in MPlus, ...
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0answers
23 views

How to interpret the results of geweke.diag() function present in Coda package of R?

I am using geweke.diag() to check the convergence of an MCMC chain, I am using following R-Code for the purpose ...