Sign In

Communications of the ACM

Communications of the ACM

Estimation of the inverse function for random variate generation

A regression method for estimating the inverse of a continuous cumulative probability function F(x) is presented. It is assumed that an ordered sample, X1, …, Xn, of identically and independently distributed random variables is available. A reference distribution F0(x) with known inverse F0-1(p) is used to calculate the quantities Wi = i ln[F0(Xi)/F0(Xi+1)]. These quantities are used to estimate the function &ggr;(p) = pd ln≥F0[F-1(p)]⋦/dp from which an estimate of F-1(p) is derived. The method produces an estimate in a form that is convenient for random variate generation. The procedure is illustrated using data from a study of oil and gas lease bidding.

The full text of this article is premium content


No entries found

Log in to Read the Full Article

Sign In

Sign in using your ACM Web Account username and password to access premium content if you are an ACM member, Communications subscriber or Digital Library subscriber.

Need Access?

Please select one of the options below for access to premium content and features.

Create a Web Account

If you are already an ACM member, Communications subscriber, or Digital Library subscriber, please set up a web account to access premium content on this site.

Join the ACM

Become a member to take full advantage of ACM's outstanding computing information resources, networking opportunities, and other benefits.

Subscribe to Communications of the ACM Magazine

Get full access to 50+ years of CACM content and receive the print version of the magazine monthly.

Purchase the Article

Non-members can purchase this article or a copy of the magazine in which it appears.
Sign In for Full Access
» Forgot Password? » Create an ACM Web Account