On Sun, 24 Aug 2003 23:35:13 GMT, [EMAIL PROTECTED] wrote: > Hello > > For my simulations, I have to simulate paths of > Normal(mu*, sigma*).random variables. It so happens, that each path > has few [500] observations, AND sigma is large [compared to mu]. Thus > the realized values of mu are often very different from mu*. I > discovered that in my particular application, it makes sense to take > each path, > 1) estimate mu and sigma > 2) if mu is not equal to m*, then "massage the data" - for each path, > convert the data into N(0,1) [by subtracting the estimated mu [for > this path] from each observation, etc], and then convert the data into > N(M*, Sigma*)I [by adding m* to each value, etc]. > > I was wondering whether there is a formal Statistics term describing > this "massaging the data" procedure. I really need to know this, to > be able to put my research into context of existing work.
I think that for this one, you would just give the short conclusion - you performed simulations with random normal variables, where the mu and sigma for every 500 trials were constrained to the exact values .... I wonder if you are doing it backwards, though. One of the important things about *randomized* variables is that they are random. It is not very 'random' in description, if every mean = 0, SD=1. I'm asking this because I made that mistake when I first set out to do Monte Carlo, 25 or so years ago -- I thought that the means and SDs should be fixed, as a general result. Now I realize that there can be special reasons to require fixed-means/ SDs, but the general case doesn't. I have read that the LACK of randomness of computer's random-number-generators is a potential problem, for some very-large-scale simulations. In particular, I read about simulations of breeding populations. It should be important, for interactions over hundreds or thousands of generations, that the external variations are modeled right. - First, it might be too conservative to use Normal. - Second, if Normal is the proper, real-world assumption, THEN the algorithms need to make variation in the means and variances. I am willing to read more about the randomness of algorithms, too, but I don't have any references right now. -- Rich Ulrich, [EMAIL PROTECTED] http://www.pitt.edu/~wpilib/index.html "Taxes are the price we pay for civilization." Justice Holmes. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
