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Generating random samples from user-defined distributions

Author

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  • Katarına Lukacsy

    (Central European University)

Abstract

Generating random samples in Stata is very straightforward if the distribution drawn from is uniform or normal. With any other distribution, an inverse method can be used; but even in this case, the user is limited to the built- in functions. For any other distribution functions, their inverse must be derived analytically or numerical methods must be used if analytical derivation of the inverse function is tedious or impossible. In this article, I introduce a command that generates a random sample from any user-specified distribution function using numeric methods that make this command very generic.

Suggested Citation

  • Katarına Lukacsy, 2011. "Generating random samples from user-defined distributions," Stata Journal, StataCorp LP, vol. 11(2), pages 299-304, June.
    • Handle: RePEc:tsj:stataj:v:11:y:2011:i:2:p:299-304
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    References listed on IDEAS

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    1. Athanassios N. Avramidis & James R. Wilson, 1994. "A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments," INFORMS Journal on Computing, INFORMS, vol. 6(4), pages 342-355, November.
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