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 ...
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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 ...
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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?
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17 views

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 ...
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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-...
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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" (...
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7 views

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 ...
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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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22 views

Adjusting for probabilities of different updates in Metropolis Hastings

I have a problem with specifying the update probability in MH. Assume we have the following setup in Metropolis-Hastings. We want to target a (2N-1)-dimensional posterior of parameters $(\alpha_2, \...
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23 views

Monte Carlo simulation percentile convergence

Suppose I have a normal distribution random variable $X$ with mean $\mu$ and variance $\sigma^2$. I can easily calculate the 99.7 percentile, which $\approx\mu+3\sigma$. In the Monte Carlo simulation ...
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25 views

Dealing with deterministic simulations via Bayesian analysis

Problem Set-Up Suppose I have a random variable $a \sim \mathcal{U}(\cdot)$, that is distributed uniformly, and some other random variable $X \sim \mathcal{N}(\cdot)$, that is distributed normally. ...
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42 views

What should a player flipping a coin “expect”?

Thanks for reading. Earlier today, I asked this question on the Math StackExchange: https://math.stackexchange.com/questions/3307837/do-i-break-even-in-a-fair-game If someone were to run a computer ...
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19 views

Bootstrapping for Control Variates

TLDR: I want to do Monte Carlo with control variates I work in the setting where you use Monte Carlo sampling to approximate the optimal coefficients for the control variates. I want to retain the ...
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3answers
424 views

How do I generate distribution of positive numbers only with min, max and mean?

I am trying to generate a sample of 2000 rows. I have the following values min = 80 max = 12000 mean = 500 I want to generate only positive numbers. I tried using triangular distribution and range ...
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1answer
24 views

Useful data analysis methods for engineering applications [closed]

I'm currently working on a dynamic simulation of an already existing product. The simulation is supposed to help in future development of this product by enabling the engineers to get a better ...
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22 views

The dynamics of a normal distribuition in stochastic processes (food court example)

Suppose I want model a huge food court. Let's assume that the number of people who start having a lunch is a function of time $f(t)$. Also, let's consider that the time people spend having a lunch ...
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14 views

Model to Bootstrap/ simulate hourly shape from daily data

How do I simulate/boot strap hourly shape from daily data ? $\mathbf {Data set:}$ My first data has hourly granularity, its hourly temperature, $T_1$ through $T_{24}$ and but I have no means to ...
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24 views

Probability distribution of the standard deviation of a gamma distribution

I want to generate some data using a series of Gamma distributions in a Bayesian hierarchical setting. I need to generate the data for a series of contexts, but I got only 2 data points per context, ...
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18 views

empirical standard deviation and model standard errors in simulation studies

I'm running a simulation in meta-analysis to compare two methods that estimate the same problem parameters. One of them is a likelihood-based approach. In this kind of problems, one has to fix in ...
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63 views

Simulate data for quadratically related variables

I'm looking to simulate a dataset with two variables (X,Y) where the relation between these variables is quadratic (inverted U shape) but not a perfect trend (meaning if Y is regressed onto the terms ...
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1answer
28 views

Comparing observed binomial data with data simulated from a physical model

I have ~20 datasets which contain data that I assume is, conditional on a single variable, binomially distributed. I have built a physical model of the process generating the data and can simulate ...
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17 views

Simulations for mixed effects models - related variables

I am trying to create a simulation for a power analysis with a mixed effect model. Each participant will be tested on four different variables. The data for these variables should be related, i.e. ...
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1answer
76 views

How should one simulate a continuously-marked point process by Birth and Death MCMC?

As the question states, I am not sure how I should go about doing that. The main issue is how do I draw a sample from the marked space? The way I am doing things now is as follow: If we are in a ...
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10 views

Hierarchical simulation of patient waiting times in order to keep annual average below some threshold

I have a dataset about patient waiting times in a healthcare district. These data have 3 categorical variables: - healthcare provider; - healthcare service (eg. cardiology visit, electrocardiogram, ...
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Regression dilution problem with autoregression

Consider the following; y(t)= b0 + h(t) + b1 y(t-1) + e0(t) h(t) = b2 + b3 h(t-1) + e1 (t) where e0 and e1 are normal mean zero and uncorrelated error terms. Now we wish to find d E[y(t) / d y(...
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What are other ways to say “cutting off 2.5% from the tails”? [closed]

I was reading a text that state Cutting off $2.5\%$ from the tails of these simulated distributions gives us Bayesian interval estimates of $\mu$ and $\theta$. I was wondering what are other ways ...
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8 views

Which model or algorithm to use for complex optimization problem?

I have a simulation model with a large amount of input and multiple output parameters. I would like to use this model for an optimization task, but I am limited in computation time and resources. So a ...
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23 views

Simulating data in JAGS “ones trick”

I am trying to simulate data to use for posterior predictive checks in JAGS running through R, which is relatively simple for pre-loaded distributions, but I am looking to simulate data when I have ...
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19 views

Error propagation in simulation-based approach

I am working with a method which, in one of the steps, takes as input some aggregate-level data, e.g. means and standard deviations for the covariates of a specific population and the marginal ...
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29 views

How to simulate errors? [closed]

When performing forecasting, is it possible to simulate the error term for future events? I have an exponential model that performs reasonably well, however I would like to add some randomness to the ...
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23 views

Random-effects-meta-analysis-simulation: zero-estimates for tau^2

I am working on simulating a random-effects-model for comparison of the DerSimonian-Laird-method vs. Hartung-Knapp-Sidik-Jonkman-method in R. To do so, I chose different combinations of mu (true ...
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40 views

R - How can we simulate a time series data that have local trend and cycle seasonality

I want to simulate a time series in R, consisting a local trend and cycle seasonality. The cycle seasonality component is: I am using datagen.stsm to simulate a ...
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1answer
26 views

Time Series Simulation Design

I want to Compare methods (Such as exponential smoothing methods, ARIMA models, artificial neural networks, grey-Markov model) to forecast short time series using a detailed simulation study. How can ...
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43 views

Simulate An Error Correction Model with Multiple Cointegrating Vectors

Simulating multiple time series with a single cointegrating vector can be done as follows: $S_t = S_{t-1} - \kappa (S_{t-1} \cdot P-\mu) \Delta t + \epsilon_t\sqrt{\Delta t} $ where the noise $\...
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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 ...
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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....
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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. ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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, ...
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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 ...
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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 ...
2
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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 ...
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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 ...
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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 ...