RTG: Simulating High Dimensional Data
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- The Monte Carlo Simulation Method
- The Monte Carlo methods are basically a class of computational algorithms that rely on repeated random sampling to obtain certain numerical results, and can be used to solve problems that have a probabilistic interpretation. This method of simulation is useful for our project because it enables us to sample high-dimensional vectors from a known distribution--the standard normal distribution--so that we can compare our simulated results with our theory.