# Questions tagged [monte-carlo]

Using (pseudo-)random numbers and the Law of Large Numbers to simulate the random behavior of a real system.

1,262 questions
Filter by
Sorted by
Tagged with
21 views

### Estimation Error Calculation

I'm learning about variance reduction for Monte Carlo methods and I am confused about how to calculate the "estimation error" of a given method. My question is how should I interpret "...
• 121
18 views

### Integral of normal likelihood and multivariate normal prior

I'm updating cluster assignments in the context of a non-parametric Bayesian mixture model. When computing the probability of starting a new cluster, in the absence of cluster parameters (and using a ...
• 73
11 views

### Estimating standard deviation of a posterior generated by importance sampling MC uncertainty propagation [closed]

If I want to the esimate the statistical properties of a black-box model with uncertain parameters with known distributions, I can quite easily run an MC simulation to generate a histrogram of model ...
48 views

### Monte Carlo simulations and sum of normal distributions

I am trying to predict the revenues of a portfolio of items. I want to simulate the revenues in a particular market situation in which they might increase. Each item's revenues is made up of 3 ...
• 21
1 vote
26 views

### Can I do a meta-analysis by Monte-Carlo synthetic data?

I'm trying to do a meta analysis of ~30 studies (total N = ~2000) on the correlation (X, Y). However, the heterogeneity is soooo high. My hypothesis (and what has been suggested in the literature) is ...
• 23
14 views

### In practice, should I use k-fold cross-validation or repeated random sub-sampling validation as my default choice of evaluating the model performance?

I was wondering if someone can shed some light on which cross-validation method should I, in general, use more often: k-fold cross-validation or repeated random sub-sampling validation. From Wikipedia,...
1 vote
52 views

### What are correlated errors and why are they important?

I am looking for help on correlated systematic errors, and their meaning. I have some quantities $x,y,z$ which determine a function I need to calculate. These 3 quantities are determined by a ...
13 views

• 6,135
81 views

33 views

### Is there a Quasi-Monte Carlo variant of the Metropolis-Hastings algorithm which also works on a possibly inifinite dimensional state space?

In his thesis MARKOV CHAIN MONTE CARLO ALGORITHMS USING COMPLETELY UNIFORMLY DISTRIBUTED DRIVING SEQUENCES Tribble proves consistency of the Metropolis-Hastings estimator when the input sequence of ...
• 419
51 views

### Sampling from a distribution in Quasi-Monte Carlo methods

I'm new to Quasi-Monte Carlo, so this might be a dump question. Did I get this right that we assume that every sample is created by uniformly distributed random numbers on $[0,1)$ and we replace this ...
• 419
82 views

### Generate data from posterior predictive distribution [closed]

I am new to Bayesian. I want to draw data from the posterior predictive distribution p(y|D). Do we need to find the CDF of the posterior predictive distribution and use the monte Carlo method or is ...
• 21
117 views

### How many Monte Carlo simulations must I run to get a 95\% confidence interval for some error $E$

Suppose I want to use Monte Carlo to compute some probability $p$. A single MC simulation will run for $R$ iterations and calculate $p$ as the fraction of 'successes'. Say I want to compute $p$ within ...
81 views

### The Monte Carlo of the mean square error of the maximum likelihood estimates

I try to get mean square error of the maximum likelihood estimators in R (using Monte Carlo). I can write the calculation for the MLE that is repeated once, but I need to repeat the Monte Carlo ...
• 579
34 views

### Sample size for each trial vs Number of trials conducted for Monte Carlo Simulation

I am running some Monte Carlo Simulations on Matlab. I am wondering if running more Monte Carlo Simulation trials and taking the average value of these trials is the same as running a single trial ...
61 views

### Monte Carlo Power calculation for Survival analysis in R

for a project I have to analyze two survival analysis treatment groups using R. I want to calculate the power and type I error rate of a test with Monte Carlo simulation to set up a phase 3 medical ...
1 vote
29 views

### Why do we have first/every-visit in MC but not last visit [closed]

I'm studying Reinforcement Learning and I just read about first-visit and every-visit Monte Carlo, however I don't get why we are not considering last-visit MC as a possible simulation. My "last ...
1 vote
55 views

### How to evaluate the accuracy of probability of a large set of non-repeatable events?

Assuming there are a large set ($N>1000$) of independent events $E_i$ ($i=1,2,\dots,N$), each having $M$ different outcomes. For each event $E_i$, I have an estimated discrete probability \$\hat P_j(...
• 113