Chapter 11: Problem 2
Give a method for simulating a negative binomial random variable.
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Chapter 11: Problem 2
Give a method for simulating a negative binomial random variable.
These are the key concepts you need to understand to accurately answer the question.
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Set up the alias method for simulating from a binomial random variable with parameters \(n=6, p=0.4\).
Consider the following procedure for randomly choosing a subset of size \(k\)
from the numbers \(1,2, \ldots, n:\) Fix \(p\) and generate the first \(n\) time
units of a renewal process whose interarrival distribution is geometric with
mean \(1 / p\) - that is, \(P\) (interarrival time \(=k\\}=p(1-p)^{k-1}, k=1,2,
\ldots .\) Suppose events occur at times \(i_{1}
Let \(X_{1}, \ldots, X_{n}\) be independent random variables with \(E\left[X_{i}\right]=\theta\), \(\operatorname{Var}\left(X_{i}\right)=\sigma_{i}^{2} i=1, \ldots, n\), and consider estimates of \(\theta\) of the form \(\sum_{i=1}^{n} \lambda_{i} X_{i}\) where \(\sum_{i=1}^{n} \lambda_{i}=1\). Show that \(\operatorname{Var}\left(\sum_{i=1}^{n} \lambda_{i} X_{i}\right)\) is minimized when $$ \lambda_{i}=\left(1 / \sigma_{i}^{2}\right) /\left(\sum_{j=1}^{n} 1 / \sigma_{j}^{2}\right), \quad i=1, \ldots, n $$ Possible Hint: If you cannot do this for general \(n\), try it first when \(n=2\). The following two problems are concerned with the estimation of \(\int_{0}^{1} g(x) d x=\) \(E[g(U)]\) where \(U\) is uniform \((0,1)\).
If \(f\) is the density function of a normal random variable with mean \(\mu\) and variance \(\sigma^{2}\), show that the tilted density \(f_{t}\) is the density of a normal random variable with mean \(\mu+\sigma^{2} t\) and variance \(\sigma^{2}\).
Give an algorithm for simulating a random variable having density function
$$
f(x)=30\left(x^{2}-2 x^{3}+x^{4}\right), \quad 0
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