Chapter 11: Problem 3
Give a method for simulating a hypergeometric random variable.
/*! This file is auto-generated */ .wp-block-button__link{color:#fff;background-color:#32373c;border-radius:9999px;box-shadow:none;text-decoration:none;padding:calc(.667em + 2px) calc(1.333em + 2px);font-size:1.125em}.wp-block-file__button{background:#32373c;color:#fff;text-decoration:none}
Learning Materials
Features
Discover
Chapter 11: Problem 3
Give a method for simulating a hypergeometric random variable.
All the tools & learning materials you need for study success - in one app.
Get started for free
For a nonhomogeneous Poisson process with intensity function \(\lambda(t)\), \(t \geqslant 0\), 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 \(\int_{X_{i-1}}^{X_{i}} \lambda(t) d t, i \geqslant 1\), are independent exponentials with rate 1 , where \(X_{0}=0\).
Verify that if we use the hazard rate approach to simulate the event times of a nonhomogeneous Poisson process whose intensity function \(\lambda(t)\) is such that \(\lambda(t) \leqslant \lambda\), then we end up with the approach given in method 1 of Section \(11.5\).
Order Statistics: Let \(X_{1}, \ldots, X_{n}\) be i.i.d. from a continuous
distribution \(F\), and let \(X_{(i)}\) denote the \(i\) th smallest of \(X_{1},
\ldots, X_{n}, i=1, \ldots, n .\) Suppose we want to simulate
\(X_{(1)}
Give a method for simulating a negative binomial random variable.
Consider the technique of simulating a gamma \((n, \lambda)\) random variable by using the rejection method with \(g\) being an exponential density with rate \(\lambda / n\). (a) Show that the average number of iterations of the algorithm needed to generate a gamma is \(n^{n} e^{1-n} /(n-1) !\). (b) Use Stirling's approximation to show that for large \(n\) the answer to part (a) is approximately equal to \(e[(n-1) /(2 \pi)]^{1 / 2}\). (c) Show that the procedure is equivalent to the following: Step 1: Generate \(Y_{1}\) and \(Y_{2}\), independent exponentials with rate 1 . Step 2: \(\quad\) If \(Y_{1}<(n-1)\left[Y_{2}-\log \left(Y_{2}\right)-1\right]\), return to step 1 . Step 3: \(\quad\) Set \(X=n Y_{2} / \lambda\) (d) Explain how to obtain an independent exponential along with a gamma from the preceding algorithm.
What do you think about this solution?
We value your feedback to improve our textbook solutions.