From: Charles Mills <cmills@...>
Date: 2004-08-15T02:28:55+09:00
Subject: Re: Random variable library?


On Aug 14, 2004, at 1:07 AM, Mauricio Fern�ndez wrote:

> On Sat, Aug 14, 2004 at 03:43:36PM +0900, Gavin Sinclair wrote:
>> On Friday, August 13, 2004, 5:41:22 PM, Mauricio wrote:
>>
>>> On Fri, Aug 13, 2004 at 11:26:22AM +0900, Gavin Sinclair wrote:
>>>> The work I'm doing now doesn't strictly require, but would benefit 
>>>> from a
>>>> random number generator that:
>>>>  - obeyed the distribution you want, with the parameters you want
>>
>>> You can do that easily by taking a uniform random variable and 
>>> feeding
>>> it into the distribution function you want.
>>
>> Thanks for the tip.  How do you write a distribution function?
>

If your really interested in how to use a uniform random variable to 
generate other random variables 'Simulation' by Sheldon M Ross is a 
good book on the subject.  You could also google the "inverse transform 
method" and that will probably turn up something.
-Charlie

> Well, that's more or less what the rand.rb mentioned somewhere else in
> this thread does, at least for some distributions. Basically, once you
> know the probability density function you want, you integrate it to 
> obtain
> the distribution function. Note that in some cases the pdf. cannot be
> integrated analytically, so you'd have to either generate an instance 
> of
> the random var through other means or use some numerical 
> approximations.
>
> After a surprisingly long search (compared to what one is used to
> regarding google :) I found the following:
> http://www.causascientia.org/math_stat/Dists/Compendium.pdf


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>
>