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From |
"Verkuilen, Jay" <JVerkuilen@gc.cuny.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: how to simulate an arbitrary distribution |

Date |
Fri, 4 Apr 2008 12:51:11 -0400 |

Jeph Herrin wrote: >>This must have been addressed here before, but I can't find it. I have a dataset of 1500 observations, each with an identifier and a -y- value. -y- is highly skewed, and nothing I've tried seems to normalize it.<< There are numerous distributions that are not readily transformable to normality. For a trivial example, it's not possible to transform the exponential distribution to normality, at least not in a way most people would be comfortable with. You can also have just too long a tail for "sensible" transformations to pull it down far enough (think of income in Bill Gates' neighborhood). >>I'd like to simulate the distribution of -y-. Is there a reasonable way to do this if I can't find a transform of it that looks like a standard distribution?<< Well Maarten noted that you could simply resample from the dataset. However, if you are looking for a parametric family, you may consider looking to see if the distributions found in the parametric survival analysis program (streg) fit your data. You'll have to "fake" stset but that's not hard by making a few variables that are all constant. There are some very nice graphical facilities there to check whether the model fits as well. Another possibility is to use some kind of non-parametric or semi-parametric smoothing. I don't know if there are Stata ports, but there are some nice smooth density estimators in R, e.g., the Kooperberg-Stone logspline density estimator, which allow simulation. Jay * * 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/

**Follow-Ups**:**st: RE: RE: how to simulate an arbitrary distribution***From:*"Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>

**References**:**st: how to simulate an arbitrary distribution***From:*Jeph Herrin <junk@spandrel.net>

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