Computational Statistics

Unit -5
S6 : Specialized Methods
Polar methods for the Normal
Simulation
Importance Sampling
Quality of Estimates
 Polar methods for the Normal
• polar method is a pseudo-random number
sampling method for generating a pair of
independent standard normal random variables.

• Standard normal random variables are frequently

used in computer science, computational
statistics, and in particular, in applications of
the Monte Carlo method.

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 Polar methods for the Normal

• The polar method works by choosing random

points (x, y) in the square −1 < x < 1, −1 < y < 1
until

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 Polar methods for the Normal

https://www.sciencedirect.com/topics/mathematics/generate-random-number
 Polar methods for the Normal
Box–Muller transformations.
Let X and Y be independent standard normal random variables and let R and Θ denote the
polar coordinates of the vector (X,Y).

We can now generate a pair of independent standard normal random variables X and Y by
using (5.4) to first generate their polar coordinates and then transform back to rectangular
coordinates. This is accomplished as follows:

Unfortunately, the use of the Box–Muller transformations (5.5) to generate a pair of

independent standard normals is computationally not very efficient: The reason for this is the
need to compute the sine and cosine trigonometric functions
 Using Simulation for Statistics
- The Bootstrap

• simulation is used to demonstrate statistical

principles
• we can also use simulation to answer real
statistical questions.
• Bootstrap simulation is used to quantify our
uncertainty about statistical estimates.

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 Using Simulation for Statistics
- The Bootstrap

• Bootstrapping is a statistical procedure that resamples a single

dataset to create many simulated samples.
• This process allows you to calculate standard errors, construct
confidence intervals, and perform hypothesis testing for
numerous types of sample statistics.
• Bootstrap methods are alternative approaches to traditional
hypothesis testing and are notable for being easier to
understand and valid for more conditions.

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Using Simulation for Statistics
- The Bootstrap

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IMPORTANCE SAMPLING
 IMPORTANCE SAMPLING
• Importance sampling is a Monte Carlo method for evaluating properties of a
particular distribution, while only having samples generated from a different distribution
than the distribution of interest.

• Importance sampling is a variance reduction technique that can be used in the Monte
Carlo method.

• The idea behind importance sampling is that certain values of the input random
variables in a simulation have more impact on the parameter being estimated than
others.

• If these "important" values are emphasized by sampling more frequently, then

the estimator variance can be reduced.

• Hence, the basic methodology in importance sampling is to choose a distribution which

"encourages" the important values.

• This use of "biased" distributions will result in a biased estimator if it is applied directly in
the simulation. However, the simulation outputs are weighted to correct for the use of
the biased distribution, and this ensures that the new importance sampling estimator is
unbiased. The weight is given by the likelihood ratio
 IMPORTANCE SAMPLING
• The fundamental issue in implementing importance sampling simulation is the choice of the
biased distribution which encourages the important regions of the input variables.
IMPORTANCE SAMPLING
IMPORTANCE SAMPLING
IMPORTANCE SAMPLING
IMPORTANCE SAMPLING
IMPORTANCE SAMPLING
IMPORTANCE SAMPLING
Quality of Estimates
Quality of Estimates
Quality of Estimates
 Quality of Estimates
The quality of the sample is of the utmost importance: If the sample is biased, the
conclusions drawn from the sample will be in error.

To draw valid inferences from a sample, the sample should be random.

In simple random sampling, each observation has an equal chance of being selected. In
stratified random sampling, the population is divided into subpopulations, called strata or
cells, based on one or more classification criteria; simple random samples are then drawn
from each stratum.

The desirable properties of an estimator are unbiasedness (the expected value of the
estimator equals the population parameter), efficiency (the estimator has the smallest
variance), and consistency (the probability of accurate estimates increases as sample size
increases).
 Quality of Estimates
• The two types of estimates of a parameter are point estimates
and interval estimates.

• A point estimate is a single number that we use to estimate a

parameter.

• An interval estimate is a range of values that brackets the

population parameter with some probability.
 Quality of Estimates

• accuracy grows when sample size increases

• When sample size increases precision also increases as a result of decreasing variability.
Thank