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.