Hi all,
I am trying to generate a series of random numbers. What I want to do is
create n random Poisson numbers (easily done with the rpois function) and then
use those generated numbers as the number of genenerated from another
distribution (in this case, a function for the bounded Pareto distribution I
have created).
Or, to put it in a less convoluted way, say rpois generates the values
40,35,32,28,46. I then want to use my Pareto random number generator to
generate 40, 35, 32, etc... numbers. My prefered final output will be a vector
with 1000 values, each value being the sum of (random poisson) pareto random
numbers.
It is basically simulating loss values, where the losses per year are Poisson
distributed, and the values are Pareto distributed. I wanted a vector with
total loss in each year.
My function for bounded pareto values is
function(n,gamma=0.7,alpha=5000000,beta=10000000000)
{
U <- runif(n)
A <- U*beta^gamma
B <- U*alpha^gamma
C <- beta^gamma
Num <- -(A-B-C)
D <- alpha^gamma
E <- beta^gamma
Denom <- D*E
Frac <- Num/Denom
Power <- -(1/gamma)
Val <- Frac^Power
Val
}
And so far for this function I have
function(n)
{
Y <- rpois(n,33.63)
i <- 1:n
m <- 2*sum(Y)
S <- rboundpareto(m)
G <- sample(S, Y[i], replace=FALSE)
G
}
As you can see, my theory was to sample from a set S of Pareto values. It does
output values, I think it is just outputting one sample.
Any help would be greatly appreciated
Rachel
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