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
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