Re: [R] Counterintuitive Simulation Results

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 05 Aug 2005 - 04:20:08 EST

Hi, Robert:

          Yes, I understand now. Thanks very much for your insight.

	  Best Wishes,
	  Spencer Graves

McGehee, Robert wrote:

> Spencer,
> On the first iteration of your simulation, all of the Qp.t + z.t < 0, so
> you're adding a vector of rep(4.5, 20000) to a random distribution with
> mean -0.1. So one would expect on iteration 2, your mean would have
> dropped by about 0.1 (which it does). This process continues until about
> the 20th iteration when we start seeing that a large number of our
> initial starting points are floored at zero (because of the pmax). For
> points greater than zero, we continue to subtract an average of 0.1
> (actually less than this), but for those points already at zero, we're
> actually adding a mean of 0.348 (since we can never subtract from a zero
> number in this case), which starts the trajectory moving upward towards
> its asymptote.
>
> #That is, for those paths far above 0.1, we are subtracting
>

>>mean(rnorm(10000, mean = -0.1))

>
> [1] -0.1059246
>
> #And for those paths already at zero, we are adding
>
>>mean(pmax(0, rnorm(10000, mean = -0.1)))

>
> [1] 0.3482376
>
> To see a simulation a bit closer to what you were expecting, replace the
> starting values with a random distribution with mean Qp0.
>
> i.e. replace
>
>>Qp.t <- rep(Qp0, nSims)

>
> with
>
>>Qp.t <- rnorm(nSims, Qp0, sd = 3.7)

>
>
> Robert
>
>
> -----Original Message-----
> From: Spencer Graves [mailto:spencer.graves@pdf.com]
> Sent: Thursday, August 04, 2005 12:16 PM
> To: r-help@stat.math.ethz.ch
> Subject: [R] Counterintuitive Simulation Results
>
>
> I wonder if someone can help me understand some
> counterintuitive
> simulation results. Below please find 12 lines of R code that
> theoretically, to the best of my understanding, should produce
> essentially a flat line with no discernable pattern. Instead, I see an
> initial dramatic drop followed by a slow rise to an asymptote.
>
> The simulation computes the mean of 20,000 simulated
> trajectories of
> 400 observations each of a one-sided Cusum of independent normal
> increments with mean EZ[t] = (-0.1) and unit variance. Started with any
>
> initial value, the mean of the Cusum should approach an asymptote as the
>
> number of observations increases; when started at that asymptote, it
> should theoretically stay flat, unlike what we see here.
>
> I would think this could be an artifact of the simulation
> methodology, but I've gotten essentially this image with several
> independently programmed simulations in S-Plus 6.1, with all six
> different random number generators in R 1.9.1 and 2.1.1 and with MS
> Excel. For modest changes in EZ[t] < 0, I get a different asymptote but
>
> pretty much the same image.
>
> #################################################
> simCus5 <- function(mu=-0.1, Qp0=4.5, maxTime=400, nSims=20000){
> Qp.mean <- rep(NA, maxTime)
> Qp.t <- rep(Qp0, nSims)
> for(i in 1:maxTime){
> z.t <- (mu + rnorm(nSims))
> Qp.t <- pmax(0, Qp.t+z.t)
> Qp.mean[i] <- mean(Qp.t)
> }
> Qp.mean
> }
> set.seed(1)
> plot(simCus5(Qp0=4.5))
> #################################################
>
> Thanks for your time in reading this.
> Best Wishes,
> Spencer Graves
>
> Spencer Graves, PhD
> Senior Development Engineer
> PDF Solutions, Inc.
> 333 West San Carlos Street Suite 700
> San Jose, CA 95110, USA
>
> spencer.graves@pdf.com
> www.pdf.com <http://www.pdf.com>
> Tel: 408-938-4420
> Fax: 408-280-7915
>
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>
-- 
Spencer Graves, PhD
Senior Development Engineer
PDF Solutions, Inc.
333 West San Carlos Street Suite 700
San Jose, CA 95110, USA

spencer.graves@pdf.com
www.pdf.com <http://www.pdf.com>
Tel:  408-938-4420
Fax: 408-280-7915

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Received on Fri Aug 05 04:25:55 2005

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