# Questions tagged [simulation]

A vast area which includes generating results from computer models.

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### Simulated returns from copulas to use in portfolio allocation

I am currently trying to do some portfolio optimization by reproducing the methodology found in Sahamkhadam, Stephan & Östermark (2018) ("Portfolio optimization based on GARCH-EVT-Copula ...
0answers
27 views

### data simulation from given covariance matrix from a regression model

I have a set of data. I ran a linear model fit to the data, let's just say to a general form: $af_1(x)+bf_2(x)+cf_3(x)+df_4(x)+e$ where $a,b,c,d,e$ are the fitted parameters. I am able to get the ...
0answers
6 views

### Simulation of spatial data

How to simulate spatial data assuming the spatial durbin model? Is it possible to simulate data by assigning autocorrelation values for both Y and X?
0answers
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### Derive and calculate winning probability of solitaire 1-2-3 [on hold]

There is a simple solitaire that involves a 40 card deck, 4 suits each with 10 cards from one to ten. It develops as following: Card Shuffling Start drawing from the deck one card at time and ...
0answers
18 views

### Difference between three randomization methods for permutation test

Source: http://www.lock5stat.com/StatKey/randomization_1_quant_1_cat/randomization_1_quant_1_cat.html There are three randomization methods for conducting the permutation test which is a non-...
0answers
12 views

### Simulated Regression - getting the population like data

I try to evaluate measures for Feature Importance for a regression. I have data set with highly correlated features. So the betas have a variance. This makes it difficult to estimate the "true betas" (...
0answers
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### Simulating Draws of Multivariate EV-Type Distribution

Let $\varepsilon = [\varepsilon_1,...,\varepsilon_J]$ be a random vector that we can partition into $K$ disjoint subvectors. $\varepsilon$ has this cdf: \begin{equation} F(\varepsilon) = \exp \bigg[-\...
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### simulation validation: paired sample data or indepedent data?

i'm a newbie in simulation modelling and i'm trying to cover my lack of statistics knowledge. i'm going to realize a model of a simple manufacturing plant and i have to validate it. i have the real ...
0answers
25 views

### How to generate under-dispersed Poisson variables in R?

In this article "generate quasi-poisson distribution random variables", it is shown how to use the function rnbinom to simulate overdispersed Poisson data: ...
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### How to generate and correlate more than two random variables which are from different non-parametric distributions given then correlation matrix? [duplicate]

I tried to fit three variables using the non-parametric method(kernel smooth), and those distribution for each of three variables are different, so cholesky descomposition won´t work for replicate the ...
1answer
43 views

### R - Shapiro Test in dnorm() with weird p-value

I'm trying to use shapiro.test() function in R to test if my data fits in a normal curve. For this, I'm looking to the p-value of the output, if it's bigger than 0....
1answer
28 views

### How to generate a VAR(1) model? [closed]

I already written the code but something went wrong and I don't know why... here is the code. ...
0answers
46 views

### simr power simulation testing interaction term for 2 factors

I have a model with two factors: a (4 levels) and b (3 levels). Each participant receives two problems (id as a random effect). I want to estimate sample size based on pilot data to give me ...
0answers
25 views

### Number of iterations for a simulation without knowing standard deviation

Is it possible to determine the number of required iterations of an experiment/simulation to fall within a pre determined confidence interval, without running a default number of simulations to ...
2answers
168 views

### How do Bayesians verify their methods using Monte Carlo simulation methods?

Background: I have a PhD in social psychology, where theoretical statistics and math were barely covered in my quantitative coursework. Through undergrad and grad school, I was taught (much like many ...
1answer
211 views

### Compute truncated normal distribution with specific mean and variance

I have a simple setting: I simulate demand patterns that are distributed according to a truncated normal distribution with a given mean and variance after truncation. The truncation is from the left ...
1answer
32 views

### How to sample/fit distribution from/for bi-modal data [closed]

The context is: I have a sequence of data, of which the histograms show a bi-modal pattern. My final goal is to sample from this sequence in a simulation project. Now we want to fit a parametric model ...
1answer
25 views

### Optimal distribution for Acceptance Rejection Sampling

For some project I have been sampling from the Gamma distribution. I have been using the exponential distribution intensively. One method I have employed is the Acceptance rejection sampling, ...
1answer
29 views

### Generation of synthetic data for Hierarchical clustering

I wanted to test various hierarchical clustering algorithms to check which algorithm performs best. For this, I was considering simulating some ground truth. Is the possible to generate a correlation ...
1answer
28 views

### Why is resampling in bootstrapping? Can you resample too much?

I'm a stats consumer but by no means a statistician. I'm a little confused about how resampling an existing sample can bring useful information, but I get the general idea that you can generate ...
1answer
136 views

### Manual simulation of Markov Chain in R

Consider the Markov chain with state space S = {1, 2}, transition matrix and initial distribution α = (1/2, 1/2). Simulate 5 steps of the Markov chain (that is, simulate X0, X1, . . ...
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### Generating new samples from dataset to expand dataset

I want to choose one dataset and then expand the dimensions/number of samples to show how a dimension reduction method(not yet decided) reacts to changes in dimensions/number of samples. My plan was ...
1answer
87 views

### INAR(1) simulation in R [closed]

How do we simulate values of $Y_t$ for a maximum value of $t=60$ when we have an INAR(1) process as follows: $Y_t=ρ^*Y_{(t-1)}+R_t$ where $t$ takes values from 1 to 60, $ρ=0.3,0.8$, $ρ^*$ is ...
1answer
33 views

### How do you verify independence of a pair of uniform random variables in MATLAB? [closed]

If $A$ is a subset of $R$ and $X$ is a random variable. I have two variables $X_1$ and $X_2$. $I$ being $1$ if $X$ in subset $A$, and $0$ if not in $A$. Let $U$~$U(0;1)$ and determine if this pair ...