Tagged Questions

0
votes
0answers
12 views

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 ...
6
votes
4answers
213 views

How can I sample from a distribution with incomputable CDF?

Semi-computer science simulation related problem here. I have a distribution where P(x) = $\frac{(e^b-1) e^{b (n-x)}}{e^{b n+b}-1}$ for some constants b and n, and x is an integer such that $0\leq ...
1
vote
1answer
58 views

positive skewness in simulation results

I am using simulations to make a calculation. I generate many random numbers from a distribution for each input and then I take the mean and standard deviation of the outputs. I noticed that the mean ...
0
votes
0answers
117 views

Defining this simulation approach (Bootstrap, Monte Carlo)

I am currently carrying out simulations based on two different longitudinal (multi-state) models. In practice, these two models are aimed at parametrically estimating the transition probabilities ...
1
vote
0answers
199 views

Clarify difference between first and second order monte carlo simulation

What is the qualitative difference between a first and second order Monte Carlo simulation, and the context in which one would implement each.
2
votes
0answers
120 views

Estimating customer waiting time and server idle time on a finite horizon, stochastic, single-server queue

I am working on a problem of scheduling appointments for a stochastic, single-server queue. There are $n$ customers who each have independent, randomly distributed service durations $Z_i$. The ...
8
votes
3answers
1k views

Simulation study: how to choose the number of iterations?

I would like to generate data with "Model 1" and fit them with "Model 2". The underlying idea is to investigate robustness properties of "Model 2". I am particularly interested in the coverage rate of ...
4
votes
1answer
152 views

exact Monte Carlo simulation of a large sample histogram

(Asked this on MathOverflow, got redirected here) Say I want to create a histogram of $N$ samples from some simple compactly supported distribution on $\mathbb{R}$, where $N$ is very large, say $N = ...
1
vote
0answers
367 views

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, ...
4
votes
2answers
641 views

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 ...
9
votes
1answer
465 views

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 ...
4
votes
2answers
445 views

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 ...
4
votes
1answer
257 views

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 ...
2
votes
1answer
953 views

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, ...
9
votes
2answers
706 views

Finding precision of Monte Carlo simulation estimate

Background I am designing a Monte Carlo simulation that combines the outputs of series of models, and I want to be sure that the simulation will allow me to make reasonable claims about the ...
2
votes
2answers
924 views

Monte Carlo experiment to estimate coverage probability

I'm working on a problem as follows for a course that I'm auditing: Suppose a 95% symmetric t-interval is applied to estimate a mean, but the sample data are non-normal. Then the probability ...