Simulation

R midterms

November 9, 2012 | xi'an

Here are my R midterm exams, version A and version B in English (as students are sitting next to one another in the computer rooms), on simulation methods for my undergrad exploratory statistics course. Nothing particularly exciting or innovative! Dedicated ‘Og‘s readers may spot a few Le Monde puzzles ... [Read more...]

slides for my simulation course

October 18, 2012 | xi'an

Similar to last year, I am giving a series of lectures on simulation jointly as a Master course in Paris-Dauphine and as a 3rd year course in ENSAE. The course borrows from both the books Monte Carlo Statistical Methods and from Introduction to Monte Carlo Methods with R, with George ... [Read more...]

ISBA towards higher computing goals [yet another new section!!!]

September 19, 2012 | xi'an

Surrounding the great and exciting gathering of Bayesian statisticians in Kyoto last June, several ISBA sections have appeared in the past weeks, as already mentioned on the ‘Og. Along with Anto Mira and Nicolas Chopin (who did most of the organisational work while I was wandering down under!), we discussed ... [Read more...]

Suicide statistics and the Christchurch earthquake

September 5, 2012 | Luis

Suicide is a tragic and complex problem. This week New Zealand’s Chief Coroner released its annual statistics on suicide, which come with several tables and figures. One of those figures refers to monthly suicides in the Christchurch region (where I … Continue reading → [Read more...]

Simulation: The modeller’s laboratory

August 10, 2012 | Corey Chivers

In his 2004 paper in Trends in Ecology and Evolution, Steven Peck argues: Simulation models can be used to mimic complex systems, but unlike nature, can be manipulated in ways that would be impossible, too costly or unethical to do in natural systems. Simulation can add to theory development and testing, ... [Read more...]

Using discrete-event simulation to simulate hospital processes

July 12, 2012 | Bart

Discrete-event simulation is a very useful tool when it comes to simulating alternative scenario’s for current of future business operations. Let’s take the following case; Patients of an outpatient diabetes clinic are complaining about long waiting times, this seems to have an adverse effect on patient satisfaction and ... [Read more...]

Simulating Euro 2012

June 11, 2012 | Corey Chivers

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 ... [Read more...]

\STATE [algorithmic package]

June 7, 2012 | xi'an

I fought with my LαTεX compiler this morning as it did not want to deal with my code: looking on forums for incompatibilities between beamer and algorithmic, and adding all kinds of packages, to no avail. Until I realised one \STATE was missing: (This is connected with my ... [Read more...]

ABC+EL=no D(ata)

May 27, 2012 | xi'an

It took us a loooong while [for various and uninteresting reasons] but we finally ended up completing a paper on ABC using empirical likelihood (EL) that was started by me listening to Brunero Liseo’s tutorial in O’Bayes-2011 in Shanghai… Brunero mentioned empirical likelihood as a semi-parametric technique w/... [Read more...]

R, Julia and genome wide selection

April 24, 2012 | Luis

— “You are a pussy” emailed my friend. — “Sensu cat?” I replied. — “No. Sensu chicken” blurbed my now ex-friend. What was this about? He read my post on R, Julia and the shiny new thing, which prompted him … Continue reading → [Read more...]

Instrumental Variables without Traditional Instruments

April 14, 2012 | diffuseprior

Typically, regression models in empirical economic research suffer from at least one form of endogeneity bias. The classic example is economic returns to schooling, where researchers want to know how much increased levels of education affect income. Estimation using a simple linear model, regressing income on schooling, alongside a bunch ... [Read more...]

π Day Special! Estimating π using Monte Carlo

March 14, 2012 | Corey Chivers

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 ... [Read more...]

another X’idated question

February 23, 2012 | xi'an

An X’idated reader of Monte Carlo Statistical Methods had trouble with our Example 3.13, the very one our academic book reviewer disliked so much as to “diverse [sic] a 2 star”. The issue is with computing the integral when f is the Student’s t(5) distribution density. In our book, we ... [Read more...]
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