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Re: st: Drawing from a known, non-regular, discrete distribution


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Drawing from a known, non-regular, discrete distribution
Date   Tue, 18 Feb 2014 12:37:40 +0000

Here is an example of using -rdiscrete()- in Mata. In your case, the
probabilities are already in a variable. If -rdiscrete()- chokes on
small differences in total from 1, then check the probabilities and if
need be scale by -p :/ sum(p)-.

. clear

. set obs 1000
obs was 0, now 1000

. mat p = [0.2,0.2,0.1,0.1,0.1,0.1,0.05,0.05,0.05,0.05]

. gen double p = p[1,_n]
(990 missing values generated)

. list in 1/10, sep(0)

     +-----+
     |   p |
     |-----|
  1. |  .2 |
  2. |  .2 |
  3. |  .1 |
  4. |  .1 |
  5. |  .1 |
  6. |  .1 |
  7. | .05 |
  8. | .05 |
  9. | .05 |
 10. | .05 |
     +-----+

. gen y = .
(1000 missing values generated)

. mata
------------------------------------------------- mata (type end to
exit) ------------------
: p = st_data((1..10)', "p")

: st_store(., "y", rdiscrete(st_nobs(), 1, p))

: end
--------------------------------------------------------------------------------------------

. tab y

          y |      Freq.     Percent        Cum.
------------+-----------------------------------
          1 |        202       20.20       20.20
          2 |        200       20.00       40.20
          3 |         98        9.80       50.00
          4 |        102       10.20       60.20
          5 |         87        8.70       68.90
          6 |         99        9.90       78.80
          7 |         49        4.90       83.70
          8 |         54        5.40       89.10
          9 |         53        5.30       94.40
         10 |         56        5.60      100.00
------------+-----------------------------------
      Total |      1,000      100.00
Nick
njcoxstata@gmail.com


On 18 February 2014 09:35, Nick Cox <njcoxstata@gmail.com> wrote:
> The "mapping" (if I am guessing correctly) is in fact trivial as in
> effect your sample would just be the observation numbers.
> Nick
> njcoxstata@gmail.com
>
>
> On 18 February 2014 09:32, Nick Cox <njcoxstata@gmail.com> wrote:
>> Thanks for the details.
>>
>> The Mata function -rdiscrete()- should do most of whar you want. You
>> will need to map your values to integers 1 up and then read in the
>> probabilities so that they are copied from a variable to a vector in
>> Mata. Then select integers and reverse the mapping.
>>
>> Nick
>> njcoxstata@gmail.com
>>
>>
>> On 18 February 2014 09:17, Lulu Zeng <luluzengnz@gmail.com> wrote:
>>> Dear Nick,
>>>
>>> My apologies for the unclear description.
>>>
>>> 1. I have 2 variables in Stata, one variable holds the 1200 known,
>>> discrete values I want to draw; the other holds the corresponding
>>> probabilities.
>>>
>>> 2. The 2 variables are associated with a parameter (attribute) of a
>>> random utility model. I am trying to draw from the distribution of
>>> this parameter of interest, and then divide it by the price parameter
>>> (which similarly has 2 associated variables too) to obtain a
>>> distribution of willingness to pay.
>>>
>>>
>>> Best Regards,
>>> Lulu
>>>
>>>
>>>
>>>
>>> On Tue, Feb 18, 2014 at 7:47 PM, Nick Cox <njcoxstata@gmail.com> wrote:
>>>> You have not, so far as I can see, specified
>>>>
>>>> 1. How you are holding information on your distribution. Is it 1200
>>>> known values with associated probabilities (so as two variables in
>>>> Stata), or is the information still outside Stata in some form?
>>>>
>>>> 2. What you expect to draw as a sample.
>>>> Nick
>>>> njcoxstata@gmail.com
>>>>
>>>>
>>>> On 18 February 2014 03:58, Lulu Zeng <luluzengnz@gmail.com> wrote:
>>>>> Dear Scott,
>>>>>
>>>>> Thank you for your response. My apologies that I am still a little
>>>>> confused about how to do this in my case where I have 1,200
>>>>> observation. Can I still use the cond() command without typing in each
>>>>> point of the draw?
>>>>>
>>>>> Best Regards,
>>>>> Lulu
>>>>>
>>>>> On Tue, Feb 18, 2014 at 1:50 PM, Scott Merryman
>>>>> <scott.merryman@gmail.com> wrote:
>>>>>> http://www.stata.com/statalist/archive/2012-08/msg00256.html
>>>>>>
>>>>>> and the links within.
>>>>>>
>>>>>> Scott
>>>>>>
>>>>>>
>>>>>> On Sun, Feb 16, 2014 at 9:15 PM, Lulu Zeng <luluzengnz@gmail.com> wrote:
>>>>>>> Dear Statalist,
>>>>>>>
>>>>>>> I am seeking help with taking draws from a known, non-regular (not
>>>>>>> normal or lognormal etc), discrete distribution.
>>>>>>>
>>>>>>> For example, taking draws from a distribution like the one below.
>>>>>>> However, in my case I have 1,200 points instead of the 4 points given
>>>>>>> in the example.
>>>>>>>
>>>>>>> Draw value     Probability
>>>>>>>
>>>>>>>     0.5                0.15
>>>>>>>
>>>>>>>     0.6                0.30
>>>>>>>
>>>>>>>     0.2                0.25
>>>>>>>
>>>>>>>     0.9                0.30
>>>>>>>
>>>>>>> The "draw value" is the value to be drawn, "probability" is the chance
>>>>>>> each value be drawn, so it adds up to 1.
>>>>>> *
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