Chapter 11: Problem 9
Set up the alias method for simulating from a binomial random variable with parameters \(n=6, p=0.4\)
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Chapter 11: Problem 9
Set up the alias method for simulating from a binomial random variable with parameters \(n=6, p=0.4\)
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For a nonhomogeneous Poisson process with intensity function \(\lambda(t)\), \(t \geq 0\), where \(\int_{0}^{\infty} \lambda(t) d t=\infty\), let \(X_{1}, X_{2}, \ldots\) denote the sequence of times at which events occur. (a) Show that \(\int_{0}^{x_{1}} \lambda(t) d t\) is exponential with rate 1 . (b) Show that \(\int_{X_{i}-1}^{X_{j}} \lambda(t) d t, i \geq 1\), are independent exponentials with rate 1, where \(X_{0}=0\). In words, independent of the past, the additional amount of hazard that must be experienced until an event occurs is exponential with rate \(1 .\)
Give a method for simulating a negative binomial random variable.
Order Statistics: Let \(X_{1}, \ldots, X_{n}\) be i.i.d. from a continuous
distribution \(F\), and let \(X_{\omega}\) denote the \(i\) th smallest of \(X_{1},
\ldots, X_{n}, i=1, \ldots, n .\) Suppose we want to simulate
\(X_{(1)}
Suppose it is relatively easy to simulate from \(F_{i}\) for each \(i=1, \ldots,
n\). How can we simulate from
(a) \(F(x)=\Pi_{i=1}^{n} F_{i}(x) ?\)
(b) \(F(x)=1-\Pi_{i=1}^{n}\left(1-F_{i}(x)\right)\) ?
(c) Give two methods for simulating from the distribution \(F(x)=x^{n}\),
\(0
Suppose it is relatively easy to simulate from the distributions \(F_{1}\),
\(i=1, \ldots, n\). If \(n\) is small, how can we simulate from
$$
F(x)=\sum_{t=1}^{n} P_{i} F_{f}(x), \quad P_{i} \geq 0, \quad \sum_{i} P_{i}=1
?
$$
Give a method for simulating from
$$
F(x)=\left\\{\begin{array}{ll}
\frac{1-e^{-2 x}+2 x}{3}, & 0
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