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    Lab Wk8soln PDF

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    This document contains solutions to statistical modeling problems from a university course. It includes: 1) Calculations of integrals related to probability distributions and transformations to approximate them in R. 2) A function to simulate random variables from a given discrete probability distribution. 3) A function that uses rejection sampling to simulate random variables with a particular discrete distribution. 4) An explanation of how to implement rejection sampling for a continuous probability distribution and the corresponding R code.

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    Lab Wk8soln PDF

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    This document contains solutions to statistical modeling problems from a university course. It includes: 1) Calculations of integrals related to probability distributions and transformations to approximate them in R. 2) A function to simulate random variables from a given discrete probability distribution. 3) A function that uses rejection sampling to simulate random variables with a particular discrete distribution. 4) An explanation of how to implement rejection sampling for a continuous probability distribution and the corresponding R code.

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    This document contains solutions to statistical modeling problems from a university course. It includes: 1) Calculations of integrals related to probability distributions and transformations to approximate them in R. 2) A function to simulate random variables from a given discrete probability distribution. 3) A function that uses rejection sampling to simulate random variables with a particular discrete distribution. 4) An explanation of how to implement rejection sampling for a continuous probability distribution and the corresponding R code.

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    27 views3 pages

    Lab Wk8soln PDF

    Uploaded by

    Peper12345
    This document contains solutions to statistical modeling problems from a university course. It includes: 1) Calculations of integrals related to probability distributions and transformations to approximate them in R. 2) A function to simulate random variables from a given discrete probability distribution. 3) A function that uses rejection sampling to simulate random variables with a particular discrete distribution. 4) An explanation of how to implement rejection sampling for a continuous probability distribution and the corresponding R code.

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    of 3

    UNIVERSITY OF NEW SOUTH WALES

    SCHOOL OF MATHEMATICS AND STATISTICS


    MATH3821 Statistical Modelling and Computing
    Term Two 2020

    Week 8 Lab Solutions


    1. (a)
    Z 1
    exp(exp(x))dx = E(exp(exp(U ))
    0

    where U is uniformly distributed on [0, 1].


    Approximation in R:
    u <- runif(10000)
    mean(exp(exp(u)))

    ## [1] 6.291558
    (b) Because the function exp(−x2 ) is symmetric about the origin,

    Z ∞ Z ∞
    exp(−x2 )dx = 2 exp(−x2 )dx.
    −∞ 0

    Now,

    Z ∞ Z 1  2 !
    2 1 1
    exp(−x )dx = exp − −1 du
    0 0 u2 u

    (we have made the transformation u = 1/(1 + x)).


    Now approximate the integral:
    u <- runif(10000)
    2 * mean(1 / u ^ 2 * exp(-(1 / u - 1) ^ 2))

    ## [1] 1.763603
    √
    (The true answer is π ≈ 1.77).
    (c)
    Z 1 Z 1
    exp((x + y)2 )dydx = E exp((U1 + U2 )2 )
    
    0 0

    where U1 , U2 are independent uniformly distributed random variables on [0, 1].


    Now approximate the integral:
    u1 <- runif(10000)
    u2 <- runif(10000)
    mean(exp((u1 + u2) ^ 2))

    ## [1] 4.925057
    (d) With Iy (x) defined by 
    1 if y < x
    Iy (x) =
    0 otherwise

    1
    we can write

    Z ∞ Z x Z ∞ Z ∞
    exp(−(x + y))dydx = exp(−(x + y))Iy (x)dydx.
    0 0 0 0

    Now make the transformations u1 = 1/(1 + x), u2 = 1/(1 + y). We have

    Z ∞ Z ∞
    exp(−(x + y))Iy (x)dydx =
    0 0
    Z 1 Z 1     
    1 1 1 1
    exp − + − 2 I 1
    u2 −1
    − 1 .
    0 0 u21 u22 u1 u2 u1
     
    1
    Note that I u1 −1 u1 − 1 = Iu1 (u2 ) (since
    2

    1 1
    −1< −1
    u2 u1
    if and only if u1 < u2 ).
    Now approximate the integral:
    u1 <- runif(10000)
    u2 <- runif(10000)
    z1 <- 1 / u1 - 1
    z2 <- 1 / u2 - 1
    mean(1 / u1 ^ 2 / u2 ^ 2 * exp(-(z1 + z2)) * (u1 < u2))

    ## [1] 0.5010676
    (The true answer is 0.5).

    2. invsim <- function(p) {


    if(sum((p < 0)) != 0)
    stop("Some supplied probability function values are negative")
    #
    # If the probability function values don't sum to 1
    # then rescale.
    #
    p <- p / sum(p)
    cumsum <- p[1]
    y <- 1
    u <- runif(1)
    while(u >= cumsum) {
    cumsum <- cumsum + p[y + 1]
    y <- y + 1
    }
    y
    }

    3. reject <- function() {


    p <- rep(c(0.11, 0.09), times = 5)
    y <- sample(1:10, 1) + 4
    while(runif(1) > p[y - 4]/0.11) {
    y <- sample(1:10, 1) + 4
    }

    2
    y
    }

    4. Suppose that
    F (x) = xn 0 ≤ x ≤ 1
    where n is a positive integer. A random variable with density function

    nxn−1 0 ≤ x ≤ 1
    
    f (x) =
    0 otherwise

    has this distribution function.


    Let g(x) be the uniform density on [0, 1],
    
    1 0≤x≤1
    g(x) =
    0 otherwise.

    Now,
    f (x)
    max = max f (x) ≤ n.
    0≤x≤1 g(x) 0≤x≤1

    We implement the rejection algorithm in R as follows:


    function(n) {
    y <- runif(1)
    while(runif(1) >= y^(n - 1)) {
    y <- runif(1)
    }
    y
    }

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