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Re: st: invgammap


From   ymarchenko@stata.com (Yulia Marchenko, StataCorp)
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: invgammap
Date   Tue, 08 May 2007 09:46:23 -0500

Carlo Lazzaro <carlo.lazzaro@tin.it> asks about the scale parameter of the
inverse Gamma distribution:

> performing an invgammap with random probabilities
>
> generate alfa=invgammap(a,uniform())
>
> I have noticed the absence of the beta parameter of the gamma distributions.
> May this absence affect the results of the probabilistic invgammap function?

Although probability functions -gammap()- and -invgammap()- do not allow
specifying the scale parameter, Carlos can obtain the probabilities of the
Gamma distribution with shape parameter a and scale parameter beta as follows.

 . generate gamma = gammap(a, x/beta)

To obtain the inverse of the Gamma distribution with shape parameter a and
scale parameter beta, Carlos can use

 . generate x = beta*invgammap(a, gamma)

or, using his example,

 . generate alfa = beta*invgammap(a,uniform())


-- Yulia
ymarchenko@stata.com
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