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Generating random variables from the N/I distributions

Author

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  • Peter A. Lachenbruch

    (U. S. FDA)

Abstract

The N/I distributions are the ratio of a normal distribution to an independent distribuiton. They include the normal, Cauchy, t, slash for various cases of the denominator distribution. The author has developed a program that will generate these distributions for use in simulations. Additionally, mixtures are allowed and one can obtain the distribuiton of the inverse of the I distribution by setting the numerator normal to have mean 1 and standard deviation 0. These were originally developed for the Robust Estimation study of Andrews, et al (1972)

Suggested Citation

  • Peter A. Lachenbruch, 2004. "Generating random variables from the N/I distributions," North American Stata Users' Group Meetings 2004 2, Stata Users Group, revised 25 Aug 2004.
    • Handle: RePEc:boc:asug04:2
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