Kendall's advanced theory of statistics
Kendall's advanced theory of statistics
Estimation of the inverse function for random variate generation
Communications of the ACM
| Hi-index | 0.02 |
Three methods of estimating the inverse of a continuous cumulative distribution function for the purpose of random deviate generation are discussed. These methods are 1) the empirical approach, 2) the maximum likelihood approach, 3) a newly developed regression based estimation procedure. Analytic results are obtained which permit comparisons of the accuracies of each of these methods under alternative assumptions about the underlying distribution. Expressions for the variance of each estimate at any given quantile of the random variable are provided. A demonstration of the procedures is given using data from the outer continental shelf oil and gas lease program.