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Re: st: Producing random numbers from a kernel density


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Producing random numbers from a kernel density
Date   Thu, 9 Mar 2006 08:55:32 -0600

Another popular method is by acceptance-rejection algorithm: if your
density is h(x) dominated by a functions like Kf(x) where K>1 is a
relatively well known constant, and f(x) is an exactly known
distribution from which it is easy to generate, then A-R algorithm
proceeds as follows:
(1) generate x from f(x)
(2) generate an independent U~U[0,1]
(3) check if K*U*f(x) is smaller than g(x) (note that you are using
your density of interest here). If it is, then keep it, and this will
be a new number drawn from your distribution; if not, discard it and
go for a new pair of numbers in (1) and (2).

With this method, you may have to re-estimate your kernel density for
each x. That's going to be a mess.

You might want to check Monahan, Numerical Methods of Statistics,
and/or Liu, Monte Carlo Strategies in Scientific Computing.

I think yet another option you might have is to approximate your
density by a mixture of known densities, and then generate easily from
that mixture. I wrote -denormix- package for normal mixtures in the
ice age of Stata 6, if not Stata 5, but it is only intended for
estimation, not for Monte Carlo generation.

On 3/9/06, Marcello Pagano <pagano@hsph.harvard.edu> wrote:
> 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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>


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

*
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