Re: [R] Simulation using parts of density function

From: Thür Brigitte <Brigitte.Thuer_at_swica.ch>
Date: Wed, 02 May 2007 09:08:40 +0200

Thanks for your code! It is not exactly what I really want - but it is my fault, because my description was wrong...

It is not "sim" but rhater exp(rgamma(...)) that should not exceed 5000000. So I tried to modify your code but it doesn't really work. "sim.test" returns just 1 value and not 999.

My modified code:

sim.test <- NULL
for(i in 1:999)
{sim<-NULL
  remain <- rpois(1,2000)
  x <- remain
  while(remain>0){
    sim0<-replicate(10*remain,

       exp(rgamma(1, scale = 0.5, shape = 12))
       )

    sim<-c(sim,sim0[sim0<=5000000])
    remain<-(x - length(sim))
  }
  sim<-sim[1:x]}
sim.test <- rbind(sim.test, c(value=sum(sim)))

Thanks for any help,
Brigitte

-----Ursprüngliche Nachricht-----
Von: ted.harding_at_nessie.mcc.ac.uk [mailto:ted.harding_at_nessie.mcc.ac.uk] Gesendet: Dienstag, 1. Mai 2007 20:18
An: Thür Brigitte
Cc: r-help_at_stat.math.ethz.ch
Betreff: RE: [R] Simulation using parts of density function

On 01-May-07 17:03:46, Thür Brigitte wrote:
>
> Hi
>
> My simulation with the followin R code works perfectly:
> sim <- replicate(999, sum(exp(rgamma(rpois(1,2000),
> scale = 0.5, shape = 12))))
>
> But now I do not want to have values in object "sim" exceeding
> 5'000'000, that means that I am just using the beginning of
> densitiy function gamma x < 15.4. Is there a possibility to
> modify my code in an easy way?
>
> Thanks for any help!
>
> Regards, Brigitte

A somewhat extreme problem!

The easiest way to modify the code is as below -- certiainly easier than writing a special function to draw random samples from the truncated gamma distribution.

A bit of experimentation shows that, from your code above, about 10% of the results are <= 5000000. So:

  sim<-NULL
  remain <- 999
  while(remain>0){
    sim0<-replicate(10*remain,

       sum(exp(rgamma(rpois(1,2000), scale = 0.5, shape = 12)))
       )

    sim<-c(sim,sim0[sim0<=5000000])
    remain<-(999 - length(sim))
  }
  sim<-sim[1:999]

Results of a run:

  sum(sim>5000000)
  [1] 0

  max(sim)
  [1] 4999696

  length(sim)
  [1] 999

It may be on the slow side (though not hugely -- on a quite slow machine the above run was completed in 2min 5sec, while the 999-replicate in your original took 15sec. So about 8 times as long. Most of this, of course, is taken up with the first round.

Hoping this helps,
Ted.



E-Mail: (Ted Harding) <ted.harding_at_nessie.mcc.ac.uk> Fax-to-email: +44 (0)870 094 0861
Date: 01-May-07                                       Time: 19:18:01
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