Calculation of standard deviation in stochastic simulation
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Calculation of standard deviation in stochastic simulation
When you do a stochastic simulation, you can get confidence limits and a standard deviation series. How are these calculated?

 Fe ddaethom, fe welon, fe amcangyfrifon
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 Joined: Tue Sep 16, 2008 5:38 pm
Re: Calculation of standard deviation in stochastic simulati
Confidence interval is based on standard deviation. Standard deviation is simply calculated in the normal way from the simulation results.
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 Posts: 5
 Joined: Fri Apr 13, 2012 11:24 am
Re: Calculation of standard deviation in stochastic simulati
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.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12038
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Calculation of standard deviation in stochastic simulati
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.
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Re: Calculation of standard deviation in stochastic simulati
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.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12038
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Calculation of standard deviation in stochastic simulati
To be more concrete:
Code: Select all
create(page=page1) d5 1990 1991
rndseed 1
series y=nrnd
series x=nrnd
equation eq1.ls y c x
eq1.makemodel(m)
m.stochastic(p=page2)
m.solve(s=s)
show y_0s
pageselect page2
series sd = @stdevpsby(y_0, @obsid)
show sd
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