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Computer Generation of Statistical Distributions

Computer Generation of Statistical Distributions



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Published by: fischumi on Aug 12, 2008
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Computer Generationof Statistical Distributions
by Richard Saucier
ARL-TR-2168 March2000
Approvedfor public release; distribution is unlimited.
This report presents a collection of computer–generated statistical distributions which are useful for performingMonte Carlo simulations.The distributions are encapsulated into a C++ class, called ‘Random,’ sothat theycan beused with anyC++ program.The class currently contains 27 continuous distributions, 9 discrete distributions,data–drivendistributions, bivariate distributions, and number–theoretic distributions. Theclass is designed to beflexible and extensible, and this is supported in twoways: (1) a function pointer is provided so that theuser–programmer can specify an arbitrary probability density function, and (2) newdistributions can be easily addedby coding them directly into the class.The format of the report is designed to provide the practitioner of MonteCarlo simulations with a handy reference for generating statistical distributions. However, tobeself–contained,various techniques for generating distributions are also discussed, as well as procedures for estimating distributionparameters from data.Since most of these distributions rely upon a good underlying uniform distribution of randomnumbers, several candidate generators are presented along with selection criteria and test results.Indeed, it is notedthat one of the more popular generators is probably overused and under what conditions it should be avoided.ii
The author would liketothank Linda L. C. Moss and Robert Shnidman for correcting a number of errors andsuggesting improvements on an earlier version of this report.The author is especially indebted to Richard S.Sandmeyer for generously sharing his knowledge of this subject area, suggesting generalizations for a number of thedistributions, testing the random number distributions against their analytical values, as well as carefully reviewingthe entire manuscript.Needless to say,any errors that remain are not the fault of the reviewers—nor the author—butrather are to be blamed on the computer.iii

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