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When you do a stochastic simulation, you can get confidence limits and a standard deviation series. How are these calculated?
Confidence interval is based on standard deviation. Standard deviation is simply calculated in the normal way from the simulation results.
Sorry, you will have to pretend I am especially dense here (not hard to do, really). What is the "normal" way? Is that the sample standard deviation for a given period just the standard formula calculated for the observations for all the simulations in that period? I just want to be sure I understand.
At each observation of the solve, calculate the standard deviation of the simulated solution values. So you're not calculating a standard deviation across time periods, rather across stochastic solves.
Thanks, Gareth. I think we are saying the same thing (you are confirming what I thought). We are working on getting the confidence limits directly from the simulations (e.g.), picking out the 97.5th highest and lowest simulation) rather than using the calculated standard deviations.
To be more concrete:
Code: Select all
create(page=page1) d5 1990 1991
equation eq1.ls y c x
series sd = @stdevpsby(y_0, @obsid)
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