Mean Value and Standard Deviation of function f(x,y) calculation with Monte Carlo Simulation
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This program calculates (in fact estimates) the Mean Value and the Standard Deviation of an arbitrary function f(x,y) of two independent normally distributed random variables x and y.
The program uses the Monte Carlo Simulation Method. The function f(x,y) is specified in run-time and its values are calculated using the MS ScriptControl (msscript.ocx). Add Component: Microsoft script control 1.0 (msscript.ocx)

Example:
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Given that random variable x follows the normal distribution (5,1) - with Mean value = 5 and Standard Deviation = 1 and that random variable y follows the normal distribution (4,2) - with Mean value = 4 and Standard Deviation = 2, What is the Mean value and the Standard Deviation of the function f(x,y) = x + x*y - y ?

The Standard Deviation is the most difficult part to calculate here, yet note that not always even Mean_f = f(Mean_x, Mean_y) !

Written by Vagelis Plevris, Greece
mail to: vplevris@tee.gr