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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Random walk simplex |

Date |
Fri, 23 Oct 2009 11:02:18 -0400 |

Akshay Shanker <Akshay.Shanker@standards.org.au> : Try out: clear set obs 1000 g long i=_n g byte t=1 loc k=3 forv i=1/`k' { g double x`i'=-ln(uniform()) if t==1 } loc maxt=6 qui forv plust=2/`maxt' { set obs `=_N+1000' replace i=mod(_n-1,1000)+1 if mi(i) bys i (t): replace t=t[_n-1]+1 if mi(t) tsset i t forv i=1/`k' { loc N=_N loc n=0 while `n'<`N' { g double x=l.x`i'*exp(rnormal(0,1)) if mi(x`i') replace x`i'=x if mi(x`i')&exp(-x)/exp(-l.x`i')*(x/l.x`i')>uniform() drop x count if x`i'<. loc n=r(N) } } } egen double s=rowtotal(x*) forv i=1/`k' { g double t`i'=x`i'/s } sc t1 t2, by(t) ren t3 origt3 g double t3=1-t1-t2 egen double sum=rowtotal(t?) su On Thu, Oct 22, 2009 at 10:55 PM, Akshay Shanker <Akshay.Shanker@standards.org.au> wrote: > Hi all, > > I was hoping someone would be able to help me out. > > I am trying to create a random walking simplex in STATA. The procedure > to create a random K dimension simplex seems straightforward: > > - generate K uniform RVs Xi...Xk in (0,1) > - each point in the random simplex is then i/(sum(-logXi)). > > But how would I go about getting this simplex to do a random walk in > Stata? More specifically, how can I choose a markov like draw of > -logXi,t based on an already given -logXi,t-1. There seems to be a > metropolis-hastings algo which selects this draw from a gamma > distribution with a mean of Xi,t-1 - but not sure how to do this in > STATA. Ideally I'd like to be able to generate a KxN matrix where the > coloumns are the simplex, which walk over the rows. > > Regards, > Akshay * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Random walk simplex***From:*"Akshay Shanker" <Akshay.Shanker@standards.org.au>

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