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IMSL_RAND_FROM_DATA

IMSL_RAND_FROM_DATA

The IMSL_RAND_FROM_DATA function generates pseudorandom numbers from a multivariate distribution determined from a given sample.

This routine requires an IDL Advanced Math and Stats license. For more information, contact your sales or technical support representative.

Given a sample of size nsamp of observations of a k-variate random variable, IMSL_RAND_FROM_DATA generates a pseudorandom sample with approximately the same moments as the given sample. The sample obtained is the same as if sampling from a Gaussian kernel estimate of the sample density. (See Thompson 1989.) Routine IMSL_RAND_FROM_DATA uses methods described by Taylor and Thompson (1986).

Assume that the (vector-valued) observations xi are in the rows of x. An observation, xj, is chosen randomly; its nearest m (= nn) neighbors:

are determined; and the mean:

xj

of those nearest neighbors is calculated. Next, a random sample u1, u2, ..., um is

generated from a uniform distribution with lower bound:

and upper bound:

The random variate delivered is:

The process is then repeated until n such simulated variates are generated and stored in the rows of the result.

Example


For additional information on using XYZ Routine, see Additional Examples.

In this example, IMSL_RAND_FROM_DATA is used to generate 5 pseudorandom vectors of length 4 using the initial and final systolic pressure and the initial and final diastolic pressure from Data Set A in Afifi and Azen (1979) as the fixed sample from the population to be modeled. (Values of these four variables are in the seventh, tenth, twenty-first, and twenty-fourth columns of data set number nine in routine IMSL_STATDATA.)

IMSL_RANDOMOPT, Set = 123457
r = IMSL_STATDATA(9)
x = FLTARR(113, 4)
x(*, 0) = r(*,6)
x(*, 1) = r(*,9)
x(*, 2) = r(*,20)
x(*, 3) = r(*,23)
r = IMSL_RAND_FROM_DATA(5, x, 5)
PM, r
 
162.767 90.5057 153.717 104.877
153.353 78.3180 176.664 85.2155
93.6958 48.1675 153.549 71.3688
101.751 54.1855 113.121 56.2916
91.7403 58.7684 48.4368 28.0994

Syntax


Result = IMSL_RAND_FROM_DATA(N_random, X, Nn [, /DOUBLE])

Return Value


N x ndim matrix containing the random multivariate vectors in its rows.

Arguments


N_Random

Number of random multivariate vectors to generate.

Nn

Number of nearest neighbors of the randomly selected point in x that are used to form the output point in the result.

X

Two dimensional array of size nsamp by ndim containing the given sample.

Keywords


DOUBLE (optional)

If present and nonzero, double precision is used.

Version History


6.4

Introduced

See Also


IMSL_RANDOM, IMSL_STATDATA, Overview of Random Number Generation



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