Tagged Questions

1
vote
1answer
148 views

Exponential Probability Monte Carlo simulation

I need to write a Matlab program to estimate the quantity $\theta = \mathrm{Pr}(X < 1)$, where $X$ is an exponential random variable with mean $1$. I am doing this for multiple monte carlo ...
4
votes
0answers
222 views

Simulating from a Multivariate Gaussian without Cholesky

I'd like to draw a sample from a multivariate Gaussian distribution $\mathcal{N}(\mu, \Sigma)$, where $\mu$ is the mean vector (can assume it to be $\boldsymbol{0}$), and $\Sigma$ is a sparse positive ...
5
votes
2answers
291 views

Is there a natural way to multiply measures?

Given two measures $\mu$ and $\nu$ on some measurable space $X$, is there a way to multiply them to get $\mu \cdot \nu$, another measure on $X$ (and not $X \times X$, as for the usual notion of ...
0
votes
2answers
84 views

Finding a distribution of a random variable generated using a Monte Carlo method

I would greatly appreciate if somebody could confirm or negate my result to the following problem. I am especially not sure about "putting it all together" step. Generate $U_1,U_2,U_3 \sim ...
0
votes
1answer
243 views

Combining two triangular distributions to yield one distribution

I am interested in using some Monte Carlo methods to help with an estimation problem I have. I need to allow multiple estimators to estimate line-items giving a best, average and worst case estimate ...