Results 1 to 4 of 4

Math Help - Help with Monte Carlow/Time series problem

  1. #1
    Newbie
    Joined
    Jan 2013
    From
    ireland
    Posts
    2

    Help with Monte Carlo/Time series problem

    Help with Monte Carlow/Time series problem-time-series.png


    Don't really know where to start with it!
    Last edited by tobiasfunke92; January 28th 2013 at 06:00 AM.
    Follow Math Help Forum on Facebook and Google+

  2. #2
    MHF Contributor
    Joined
    Sep 2012
    From
    Australia
    Posts
    3,651
    Thanks
    602

    Re: Help with Monte Carlow/Time series problem

    Hey tobiasfunke92.

    The inverse transform method has to do with simulating a random variable given a uniform distribution (which is built in to many computer packages by default). Here is some more information:

    Inverse transform sampling - Wikipedia, the free encyclopedia

    Basically, it means that if you can simulate U (a standard uniform) then you can simulate another continuous random variable by using Y = F^(-1)(Y) which will return a point for the Y distribution that corresponds to a realization.

    What it does is it finds the point where the cumulative probability matches the realization of the uniform distribution and you "work backwards" to find what point on your complex distribution it corresponds to.
    Follow Math Help Forum on Facebook and Google+

  3. #3
    Newbie
    Joined
    Jan 2013
    From
    ireland
    Posts
    2

    Re: Help with Monte Carlow/Time series problem

    Oh I know that, it's just that the presence of the Gamma function in it is throwing me off. Do I need to integrate that first or do I not integrate it at all?
    Follow Math Help Forum on Facebook and Google+

  4. #4
    MHF Contributor
    Joined
    Sep 2012
    From
    Australia
    Posts
    3,651
    Thanks
    602

    Re: Help with Monte Carlow/Time series problem

    You will have to integrate and solve numerically for Monte-Carlo work.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Time Series Covariance Problem
    Posted in the New Users Forum
    Replies: 1
    Last Post: October 15th 2012, 10:03 PM
  2. Replies: 0
    Last Post: March 17th 2010, 12:49 PM
  3. Time series
    Posted in the Advanced Statistics Forum
    Replies: 2
    Last Post: April 3rd 2009, 01:39 AM
  4. Time series Help
    Posted in the Advanced Statistics Forum
    Replies: 3
    Last Post: March 13th 2007, 12:05 AM
  5. Help with Time series
    Posted in the Advanced Statistics Forum
    Replies: 7
    Last Post: March 11th 2007, 12:49 PM

Search Tags


/mathhelpforum @mathhelpforum