# Questions tagged [monte-carlo]

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

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### Advantages of using t-value as test statistic in permutation tests?

I'm working with some permutation tests where my main aim is to evaluate a treatment effect, and I have a question about choice of test statistic. I've seen that some use β for the variable of ...
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### Simulating Monte Carlo with different standard deviations and interval confidence

I have a question regarding Monte Carlo simulation (direct simulation), applied to propagation of uncertainties. From what I understand Monte Carlo accepts random numbers of each input variable of ...
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### Endogeneity in spatially lagged regression model

The standard convention in Spatial Statistic is that the spatial lag term in a regression model will be biased due to simultaneity. Looking at the following model, it would be difficult to argue with ...
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### How to estimate the given function using Rao Blackwellization approach?

I have a function $X$ which is lognormal (0,1) and then another function $\log Y = 4 + 2 \log(X) + \epsilon$ where $\epsilon \sim \mathcal N(0,1)$ I want to estimate $E(Y|X)$ as a Rao Blackwellized ...
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### Gibbs sampling from full conditionals

I have the following joint density: $p(x_1,x_2,y_1,y_2) \propto \exp\left(−\left(x_1^2+x_2^2+c_1(y_2-y_1)^2+c_2(y_2-y_1)^4\right)\right)$ Can I use Gibbs sampling to sample from that? How can I get ...
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### Random walk with restricted graph knowledge

I have a very large graph and a function of its vertices, and want to estimate mean value of this function. It's not possible to sample vertices uniformly in this problem, so a reasonable choice for ...
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### Averaged estimators in stochastic versions of EM

Recently I've been working EM algorithms for MAP estimation in a problem where the expectation is intractable, but the maximization is easy. Further, draws from the distribution in the E-step are ...
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### sampling from a posterior derived from hierarchical Bayesian using HMC

I have a complex pdf based on hierarchical Bayesian formalism where x depends on the priors w'and w'', and I consider hyper-prior for the latter's as w=Php(zeta,beta) where Php stands for the hyper ...