calculating or knowing the bias of a simulation

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cgo 2015-4-6

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https://ww2.mathworks.cn/matlabcentral/answers/196282-calculating-or-knowing-the-bias-of-a-simulation

评论： Tugce TOPRAK 2019-1-11

Hello,

I am using Matlab to estimate a probability distribution function using histograms with a bin side of 0.05 on the interval [-10,10]. The density is estimated by varying the number of samples, n. If the number is too few, then it is just a bunch of random impulses that show up in the histogram.

I increased the number of samples, n, in the range from 50 to 50million. I noticed that upon increasing it, the variance of the distribution becomes larger as well. I realized this is part of the 'bias variance trade off'.

My question is, how to calculate bias in this kind of experiment? And I what is the 'right amount of sample' so that bias and variance is just enough so that error is a minimum?

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Tugce TOPRAK 2019-1-11

Hi cgo,

It's been a long time since you asked this question. But, i've tried to find out same problem and found an example demo. I hope it is helpful for everyone. Thanks to Sai Ravela who is the instructor of Quantifying Uncertainty and writer of the code.

http://ecovision.mit.edu/~sai/12S990/bvdemo.html

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