+ Reply to Thread
Results 1 to 2 of 2

Thread: bounded pareto distribution

  1. #1
    Points: 4, Level: 1
    Level completed: 7%, Points required for next Level: 46

    Posts
    1
    Thanks
    0
    Thanked 0 Times in 0 Posts

    bounded pareto distribution




    please any one can help me about the inversion method that is used to form a bounded pareto I can't understand the inversion method that is used in this function to form pareto distribution

    2) Bounded Pareto pdf is (k is lower bound, p is upper bound):
    - pdf is f(x) = ((a*k^a) / (1 - (k/p)^a))*x^(-a-1)

    double bpareto(double a, double k, double p)
    {
    double z; // Uniform random number from 0 to 1
    double pb_rv; // Computed bounded Pareto value to be returned

    // Pull a uniform random number (0.0 < z < 1.0)
    do
    {
    z = rand_val(0);
    }
    while ((z == 0.0) || (z == 1.0));

    // Generate the bounded Pareto rv using the inversion method
    pb_rv = -(z * pow(p,a) - z * pow(k, a) - pow(p,a)) / (pow(p, a) * pow(k,a));
    pb_rv = pow(pb_rv, (-1.0 / a));

    return(pb_rv);
    }

  2. #2
    TS Contributor
    Points: 22,410, Level: 93
    Level completed: 6%, Points required for next Level: 940

    Posts
    3,020
    Thanks
    12
    Thanked 565 Times in 537 Posts

    Re: bounded pareto distribution


    http://en.wikipedia.org/wiki/Pareto_...o_distribution

    Which part of the algorithm you are having trouble with? I'm not very familiar with the syntax, but I believe it is just a standard inversion algorithm. First you need to know the CDF of the bounded Pareto, and it is nice which you can directly found the inverse function (Quantile function) which will be the required functional form to transform the standard uniform. Hope you have solved this problem.

+ Reply to Thread

           




Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts






Advertise on Talk Stats