In article <[EMAIL PROTECTED]>,
Robert J. MacG. Dawson <[EMAIL PROTECTED]> wrote:
>Linda wrote:
>> I want to generate a series of random variables, X with exponential
>> PDF with a given mean,MU value. However, I only want X to be in some
>> specified lower and upper limit?? Say between 0 -> 150 i.e. rejected
>> anything outside this range Does anyone have any ideas how should I do
>> that??
> For untruncated exponential RV's the negative-log method of converting
>a uniform [0,1] RV is about as good as you can get:
> ExpVar = -ln(UnifVar);
It is not a good method in the tails, and is much too slow.
> It can easily be adjusted to censor to any interval [a,b] by prescaling
>onto [exp(-b),exp(-a)];
> TruncExpVar = -ln(exp(-b) + (exp(-a)-exp(-b))*UnifVar);
This is efficient but slow, and has the same inaccuracy in
the tails if b >> a. It is also unnecessarily complex;
equivalent results, are obtained by writing it as
TruncExpVar = a - ln(exp(a-b) + (1.0-exp(a-b))*UnifVar);
--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Dept. of Statistics, Purdue Univ., West Lafayette IN47907-1399
[EMAIL PROTECTED] Phone: (765)494-6054 FAX: (765)494-0558
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