Estimation of the inverse function for random variate generation
- 1 August 1983
- journal article
- Published by Association for Computing Machinery (ACM) in Communications of the ACM
- Vol. 26 (8) , 590-594
- https://doi.org/10.1145/358161.358170
Abstract
A regression method for estimating the inverse of a continuous cumulative probability function F ( x ) is presented. It is assumed that an ordered sample, X 1 , …, X n , of identically and independently distributed random variables is available. A reference distribution F 0 ( x ) with known inverse F 0 -1 ( p ) is used to calculate the quantities W i = i ln[ F 0 ( X i )/ F 0 ( X i +1 )]. These quantities are used to estimate the function γ ( p ) = pd ln≥ F 0 [ F -1 ( p )]⋦/ dp from which an estimate of F -1 ( p ) is derived. The method produces an estimate in a form that is convenient for random variate generation. The procedure is illustrated using data from a study of oil and gas lease bidding.Keywords
This publication has 3 references indexed in Scilit:
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- Statistical Analyses of Bids for Federal Offshore LeasesJournal of Petroleum Technology, 1976
- EDF Statistics for Goodness of Fit and Some ComparisonsJournal of the American Statistical Association, 1974