mc: Monte Carlo

In jeksterslabds/jeksterslabRboot: Jekster's Lab Linear Bootstrap Utilities

Description

Generates R number of parameter estimates from a vector of thetahat ≤ft( \boldsymbol{\hat{θ} }\right) and sampling variances and covariances of thetahat \widehat{\mathrm{Cov}} ≤ft( \boldsymbol{\hat{θ}} \right). If length of thetahat is greater than 1, a multivariate normal distribution is assumed. If length of thetahat is equal 1, a univariate normal distribution is assumed.

Usage

mc(thetahat, vcovhat, R = 20000L)

Arguments

thetahat	Numeric vector. Parameter estimates \boldsymbol{\hat{θ}}.
vcovhat	Symmetric matrix. Estimated sampling variances and covariances of parameter estimates \widehat{\mathrm{Cov}} ≤ft( \boldsymbol{\hat{θ}} \right).
R	Integer. Number of Monte Carlo replications.

Author(s)

Ivan Jacob Agaloos Pesigan

Examples

R <- 20000L
# length 1
thetahat <- 100
vcovhat <- 1.5
mc_star_length_1 <- mc(
  thetahat = thetahat,
  vcovhat = vcovhat,
  R = R
)
str(mc_star_length_1)
hist(
  mc_star_length_1,
  main = expression(
    paste(
      "Histogram of ",
      hat(theta),
      "*"
    )
  ),
  xlab = expression(
    paste(
      hat(theta),
      "*"
    )
  )
)
qqnorm(mc_star_length_1)
qqline(mc_star_length_1)
# length greater than 1
alphahat <- 0.3386
betahat <- 0.4510
alphahat_betahat <- alphahat * betahat
varhat_alphahat <- 0.1224^2
varhat_betahat <- 0.1460^2
thetahat <- c(
  alphahat,
  betahat
)
vcovhat <- matrix(
  data = c(
    varhat_alphahat,
    0.00,
    0.00,
    varhat_betahat
  ),
  ncol = 2
)
mc_star_length_2 <- mc(
  thetahat = thetahat,
  vcovhat = vcovhat,
  R = R
)
str(mc_star_length_2)
alphahat_betahat_star <- mc_star_length_2[, 1] * mc_star_length_2[, 2]
hist(
  alphahat_betahat_star,
  main = expression(
    paste(
      "Histogram of ",
      hat(alpha),
      hat(beta),
      "*"
    )
  ),
  xlab = expression(
    paste(
      hat(alpha),
      hat(beta),
      "*"
    )
  )
)
qqnorm(alphahat_betahat_star)
qqline(alphahat_betahat_star)
wald(
  thetahat = alphahat_betahat,
  sehat = sd(alphahat_betahat_star)
)

jeksterslabds/jeksterslabRboot documentation built on July 20, 2020, 12:56 p.m.