Monte Carlo II
I use Excel to perform a Monte Carlo simulation.
In using the random number generator for instance for normal
distribution this gives sometimes values which are physicaly
impossible.
Therefor I use the following formula to generate the (normal
distributed) random variables :
= a + (a - b)*NORMINV(RAND(),0,1)
where a is the supposed minimum value and b the supposed maximum value
Being no statiticus I wondered whether this is correct.
.
Relevant Pages
- Re: Monte Carlo II
... In using the random number generator for instance for ... distribution this gives sometimes values which are ... Therefor I use the following formula to generate the ... where a is the supposed minimum value and b the ...
(sci.stat.math) - Re: issues with statistical test suite from http://csrc.nist.gov/rng/
... A distribution, or data set, is symmetric if it looks the ... >> A generator is bad when it fails a test that has a good mathematical ... The most common criteria are lack of correlation and even ... Since some of the best minds in mathematics can't come up with ...
(sci.crypt) - Re: issues with statistical test suite from http://csrc.nist.gov/rng/
... >> ses is the standard error of skewness. ... >distribution differs from the expected one. ... >Unfortunately I can't know if a generator under test is good or bad if it ... Kurtosis could be ...
(sci.crypt) - Re: Is Itos Lemma correct?
... What algorithm did you use for your random number generator? ... Here's the original location and distribution of Mr. Steve Park: ... It's characterized as "a very accurate approximation of the normal idf". ... could lead to a loop in the RNG. ...
(sci.math) - Re: question on entity generation/termination
... use the event based random number generator block. ... be the distribution parameters, and using those you can generate random ... The EML block is a time-based block ... The parameter of the event-based random number ...
(comp.soft-sys.matlab) |
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