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What does it mean for "Generate pseudodata by Monte Carlo"?

For the text I was reading it says suppose that the real data $Z_n \sim N(\mu(\theta), \Sigma (\theta))$, then the pseudodata are generated by Monte Carlo according to a normal distribution based on a chosen initial $\theta$.

I though the Monte Carlo method is kind of generating the random number then take the average, I am not quite sure how is this method works here.

Thanks for any help!

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    $\begingroup$ "generating the random number then take the average" might be called Monte Carlo Integration. You can use inverse CDF methods to generate random numbers according to some distributions, or accept-reject algorithm when inverse CDF cannot be obtained. $\endgroup$ – Deep North Oct 31 '18 at 0:06

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