Thursday, March 09, 2006

Re: st: Producing random numbers from a kernel density

Depends how many numbers you want to generate, how much accuracy you want etc., but a quick and (not so) dirty method is to (1) make sure you have a decent density estimate (such as eqprhistogram ;-) ) that is always non-negative and integrates to one, then (2) calculate the distribution function of this density at as fine a grid as you want, then (3) generate a uniform random number, and (4) use the probability integral transform (which says that your distribution function is uniformly distributed) to get your variate Voila.

m.p.

Peter Willemé wrote:

> Dear all, > I am trying to draw random numbers from an arbitrary distribution. One > idea that occurred to me was to use a kernel density estimator > (-kdensity-), but I have no idea how to produce random numbers from > the result. All suggestions are welcome. > Best, > Peter > > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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