A vast area which includes generating results from computer models.

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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 ...
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1answer
25 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 ...
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18 views

Simulation of a nested demand structure, depending upon price and time, following a poisson process

Suppose I sell a product to prices $p\in \{50,100,200\}$ to different points in time $t\in \{1,2,3\}$. Thus a poisson distributed random variable $Y_{t,i} \sim \text{Poi}\left(\lambda\left( ...
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20 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 ...
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1answer
48 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 ...
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1answer
20 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 ...
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41 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 ...
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1answer
185 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 ...
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1answer
70 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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14 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. ...
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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 ...
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37 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 ...
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2answers
32 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 ...
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39 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: ...
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19 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 ...
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1answer
30 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.
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130 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 ...
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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 ...
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13 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 ...
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54 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 ...
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72 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 ...
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1answer
63 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. ...
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1answer
135 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 ...
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41 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 ...
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1answer
28 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 ...
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59 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 ...
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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 ...
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39 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 ...
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1answer
21 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 $X_1,..X_n$ ...
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1answer
127 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 ...
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1answer
132 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 ...
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1answer
39 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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56 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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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 ...
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1answer
55 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: ...
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64 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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48 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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37 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
39 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
73 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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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 ...
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16 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
77 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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1answer
36 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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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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59 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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0answers
35 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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84 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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144 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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45 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 ...