### Simulation (Advanced Data Analysis from an Elementary Point of View)

Simulation: implementing the story encoded in the model, step by step, to
produce something data-like. Stochastic models have random components and so
require some random steps. Stochastic models specified through conditional
distributions are simulated by chaining together random variables. How to
generate random variables with specified distributions. Simulation shows us
what a model predicts (expectations, higher moments, correlations, regression
functions, sampling distributions); analytical probability calculations are
short-cuts for exhaustive simulation. Simulation lets us check aspects of the
model: does the data look like typical simulation output? if we repeat our
exploratory analysis on the simulation output, do we get the same results?
Simulation-based estimation: the method of simulated moments.

*Reading*: Notes, chapter 16; R

Advanced Data Analysis from an Elementary Point of View

Posted at March 20, 2012 10:30 | permanent link