Posts Tagged ‘ Monte Carlo ’

Why trust some supposed laws of statistical sampling and…

August 15, 2012
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Why trust some supposed laws of statistical sampling and convergence when you can just test them yourself? If you have a computer with R installed (also recommended: Rstudio) then you can stop dithering about whether these n=1000 studies cited in the n...

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Simulating Euro 2012

June 11, 2012
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Simulating Euro 2012

Why settle for just one realisation of this year’s UEFA Euro when you can let the tournament play out 10,000 times in silico? Since I already had some code lying around from my submission to the Kaggle hosted 2010 Take on the Quants challenge, I figured I’d recycle it for the Euro this year. The

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Ruin probability and infinite time

March 27, 2012
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Ruin probability and infinite time

A couple of weeks ago, I had a discussion with a practitioner, working in some financial company, about ruin, and infinite time. And it remind me a weird result. Well, not a weird result, but a result I found disturbing, at first, when I was a stud...

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π Day Special! Estimating π using Monte Carlo

March 14, 2012
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π Day Special! Estimating π using Monte Carlo

In honour of π day (03.14 – can’t wait until 2015~) , I thought I’d share this little script I wrote a while back for an introductory lesson I gave on using Monte Carlo methods for integration. The concept is simple – we can estimate the area of an object which is inside another object

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Sampling for Monte Carlo simulations with R

October 31, 2011
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Sampling for Monte Carlo simulations with R

I've knocked together a quick function for generating efficient Monte Carlo samples. It takes a bit of the legwork out of running Monte Carlo simulations.

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No simulation is complete without a gif

March 24, 2011
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No simulation is complete without a gif

I promise this is my last post on the now week and a half old π pay! Building on the last post, I figured I could show how convergence actually works in the estimation algorithm. If you’ll recall, we plotted … Continue reading →

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More pi plus 1 (or plus 0.01) day fun

March 15, 2011
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More pi plus 1 (or plus 0.01) day fun

Since I just didn’t get enough this morning, I spent some more time fooling around with estimating pi. Since I was basically counting the number of random x,y pairs inside a quarter circle and computing a sample average for more … Continue reading →

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I’m late for π day

March 15, 2011
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I’m late for π day

It is officially no longer pi day, but I didn’t see this Drew Conway post about estimating pi until just a few minutes ago. Because Google Reader doesn’t show github embeds, I also got to try it without seeing Drew’s … Continue reading →

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A Million Random Digits: review of reviews

March 4, 2011
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A Million Random Digits: review of reviews

Recently on his blog (here), Robin mentioned an amazing book, called "A Million Random Digits" published by RAND corporation. The book was initially published in 1955, but RAND published a nice (and expensive) second edition. A great thing is that ...

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Adap’skiii [day 2]

January 5, 2011
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Adap’skiii [day 2]

Another exciting day at Adap’skiii!!! Yves Atchadé presented a very recent work on the fundamental issue of estimating the asymptotic variance estimation for adaptive MCMC algorithms, with an intriguing experimental observation that a non-converging bandwidth with rate 1/n was providing better coverage than the converging rate. (I always found the issue of estimating the asymptotic

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