Tag: Simulation

Rick Wicklin 0
Implement the truncated normal distribution in SAS

This article describes how to implement the truncated normal distribution in SAS. Although the implementation in this article uses the SAS/IML language, you can also implement the ideas and formulas by using the DATA step and PROC FCMP. For reference, I recommend the Wikipedia article on the truncated normal distribution.

Rick Wicklin 0
The new book on my desk

In my constant effort to keep pace with Chris Hemedinger, I am pleased to announce the availability of my new book, Simulating Data with SAS. Chris started a tradition for SAS Press authors to post a photo of themselves with their new book. Thanks to everyone who helped with the

Rick Wicklin 0
Efficient acceptance-rejection simulation

A few days ago on the SAS/IML Support Community, there was an interesting discussion about how to simulate data from a truncated Poisson distribution. The SAS/IML user wanted to generate values from a Poisson distribution, but discard any zeros that are generated. This kind of simulation is known as an

Rick Wicklin 0
Constructing common covariance structures

I recently encountered a SUGI30 paper by Chuck Kincaid entitled "Guidelines for Selecting the Covariance Structure in Mixed Model Analysis." I think Kincaid does a good job of describing some common covariance structures that are used in mixed models. One of the many uses for SAS/IML is as a language

Rick Wicklin 0
That distribution is quite PERT!

There are a lot of useful probability distributions that are not featured in standard statistical textbooks. Some of them have distinctive names. In the past year I have had contact with SAS customers who use the Tweedie distribution, the slash distribution, and the PERT distribution. Often these distributions are used

Rick Wicklin 0
Generate uniform data in a simplex

It is easy to simulate data that is uniformly distributed in the unit cube for any dimension. However, it is less obvious how to generate data in the unit simplex. The simplex is the set of points (x1,x2,...,xd) such that Σi xi = 1 and 0 ≤ xi ≤ 1

Rick Wicklin 0
The curious case of random eigenvalues

I've been a fan of statistical simulation and other kinds of computer experimentation for many years. For me, simulation is a good way to understand how the world of statistics works, and to formulate and test conjectures. Last week, while investigating the efficiency of the power method for finding dominant

Mike Gilliland 0
Forecasting and analytics at Disney World

The April 2012 issue of ORMS Today contains a piece on "How analytics enhance the guest experience at Walt Disney World," by Pete Buczkowski and Hai Chu. While many of us are used to forecasting just one or two things (such as unit sales or revenue), Pete and Hai illustrate

Rick Wicklin 0
Generating a random orthogonal matrix

Because I am writing a new book about simulating data in SAS, I have been doing a lot of reading and research about how to simulate various quantities. Random integers? Check! Random univariate samples? Check! Random multivariate samples? Check! Recently I've been researching how to generate random matrices. I've blogged

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