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Re: st: Sampling from a t-distribution using Stata


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Sampling from a t-distribution using Stata
Date   Mon, 4 Jun 2007 16:17:52 -0500

Oops. Forgot the degrees of freedom:

g double t = m + sd* invnorm(uniform())/sqrt( invchi2(_N-3), uniform()
)/ (_N-3) )

On 6/4/07, Stas Kolenikov <skolenik@gmail.com> wrote:
How about

g double t = m + sd* invnorm(uniform())/sqrt( invchi2(_N-3), uniform() )

On 6/4/07, tiago.pereira@incor.usp.br <tiago.pereira@incor.usp.br> wrote:
> Dear statalisters,
>
> I would like to generate a new variable called "x", in which "x" has a
> t-distribution with n-3 degrees of freedom (where n is the number of new
> generated observations), a mean "m" and a standard deviation, "sd", that
> is:
>
> x ~ t-distribution[n-3 df] (m, sd)
>
> How do I obtain a set of 100 new observations assuming that m=0.4 and
> sd=0.05 using Stata?
>
> I will be very grateful for any help.

--
Stas Kolenikov
http://stas.kolenikov.name
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