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### Calculation of standard deviation in stochastic simulation

Posted: Wed Jan 23, 2013 1:53 pm
When you do a stochastic simulation, you can get confidence limits and a standard deviation series. How are these calculated?

### Re: Calculation of standard deviation in stochastic simulati

Posted: Wed Jan 23, 2013 2:47 pm
Confidence interval is based on standard deviation. Standard deviation is simply calculated in the normal way from the simulation results.

### Re: Calculation of standard deviation in stochastic simulati

Posted: Thu Jan 24, 2013 6:04 am
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.

### Re: Calculation of standard deviation in stochastic simulati

Posted: Thu Jan 24, 2013 8:43 am
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.

### Re: Calculation of standard deviation in stochastic simulati

Posted: Thu Jan 24, 2013 8:58 am
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.

### Re: Calculation of standard deviation in stochastic simulati

Posted: Thu Jan 24, 2013 9:12 am
To be more concrete:

Code: Select all

`create(page=page1) d5 1990 1991rndseed 1series y=nrndseries x=nrndequation eq1.ls y c xeq1.makemodel(m)m.stochastic(p=page2)m.solve(s=s)show y_0spageselect page2series sd = @stdevpsby(y_0, @obsid)show sd`