MATLAB Answers

sample from arbitrary continuous distribution

조회 수: 39(최근 30일)
Xin
Xin 8 Jan 2017
Commented: Xin 20 Feb 2017
Say I have a very complicated probability distribution function: x^(-2)*y^(-3)*exp(-z/t), where x y z t are all continuous positive numbers. The integration in x,y,z,t space is not 1, so there has to be some scaling factor. How can I devise a function, or is there a convenient function with some symbolic that allows me to sample a random, continuous set of numbers from this distribution? What if I want to sample a full conditional distribution, say x, with y,z,t as known?
Many thanks.

  댓글 수: 1

the cyclist
the cyclist 8 Jan 2017
Are your x, y, and z correlated with each other, or independent?

로그인 to comment.

채택된 답변

the cyclist
the cyclist 8 Jan 2017
the cyclist 님이 편집함. 9 Jan 2017
There are two key elements to your problem:
  • Sampling from an arbitrary distribution
  • Sampling from a multivariate distribution (and are those variables correlated?)
To do the first part -- for example just getting samples from x^(-2) -- there is a method using the inverse of the cdf. I suggest you take a look at this thread in the old MATLAB forum to get started.
If you have independent variables, then you can just multiply the distributions of each variable. If you have dependent variables, then your best bet is to use the copula approach.
There are examples in that documentation that will help you get started. I suggest that you try some baby steps for each of these two parts, so that you build your understanding, rather than trying to solve your whole problem at once.

  댓글 수: 1

Xin
Xin 20 Feb 2017
Thank you for your answer, I have got it working.

로그인 to comment.

More Answers (0)

이 질문에 답변하려면 로그인을(를) 수행하십시오.


Translated by