Lecture 9 - Monte Carlo Estimates of Various Statistics#

Objectives#

  • Use the law of large numbers to estimate the cumulative distribution function of a quantity of interest from samples.

  • Use the law of large numbers to estimate the probability density of a quantity of interest from samples (histograms).

  • Use the law of large numbers to estimate predictive quantiles from samples.

  • Apply the Monte Carlo method to the problem of propagating uncertainty through an initial value problem.