# Tagged Questions

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### Adjusted-size in a Monte Carlo bootstrap simulation

For my thesis I computed various rejection frequencies based on p-values using various statistics based on the Wild Restricted Efficient bootstrap scheme of Davidson & Mackinnon (2010) by ...
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### Approximately sampling $(X, Y)$ when sampling $X$ is easy

Suppose I am interested in sampling many pairs $(\mathbf X, Y)$ from some distribution $f(\mathbf x, y)$ where $\mathbf x \in \mathbb R^p$, $p$ large ; I am interested in both exact and approximate ...
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### Monte Carlo estimation of probabilities

I would appreciate some advice on how to use Monte Carlo for estimating probabilities. Generally speaking the problem I have involves running an experiment and counting the frequency of output (which ...
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### Improved Monte-Carlo method vs. hit-and-miss method

I do not understand Which is more accurate, the hit-and-miss method or the improved Monte-Carlo method? Here it is written that that the hit-and-miss has a higher variance but they showed ...
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### Monte Carlo for score test

I am trying to do a Monte Carlo simulation for generate a graph for the empirical and theoretical distribution (for my score test) but I have problems because I got negative values in my score test. ...
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### Functions of Scenario-based Probability Distributions

I am considering monte carlo simulations of some probability distributions over time. For instance, I might simulate multivariate distributions $\widetilde{X}_{t+1}$ and $\widetilde{X}_{t+2}$ where ...
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### Monte Carlo simulation exercise

The assignment is to run a simulation on excel to figure out the probabilities on obtaining a certain goal: John and Jane Doe are planning to save money to pay a house for their 6-month-old son, ...
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### Using control variates & antithetic method with Monte Carlo

Supposing $g(x)=\sqrt[3]{x}$, I want to calculate the expected value of g, $E(\sqrt[3]{x})$, using Monte Carlo method, by generating $x_i$ from a Weibull distribution with parameters $(1,5)$. After ...
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### Why does bootstrapping the residuals from a mixed effects model yield anti-conservative confidence intervals?

I typically deal with data where multiple individuals are each measured multiple times in each of 2 or more conditions. I have recently been playing with mixed effects modelling to evaluate evidence ...
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### Generating dependent time series from a given distribution?

How can I generate dependent time series from a given marginal distribution? I want to be able to adjust the level of dependence, to influence the predictability of the series, which will be given as ...
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### How to use rejection sampling to generate draws from Unit Exponential

I'm working on some practice test problems, and one of them says to design a rejection sampling algorithm to produce draws from a unit exponential using draws from a Gamma(2,1). I don't understand ...
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### Constructing 95% confidence interval based on profile likelihood

In my elementary statistics course, I learnt how to construct 95% confidence interval such as population mean, mu based on asymptotic normality for "large" sample size. Apart from resampling methods, ...