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Re: st: Producing random numbers from a kernel density


From   Marcello Pagano <pagano@hsph.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Producing random numbers from a kernel density
Date   Thu, 09 Mar 2006 08:09:23 -0500

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


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