:) I might be trying to do something stupid so let me try again:
1) I have a large sample - daily percentage movement for a stock
2) I want to generate a synthetic stock which has daily movements from the same
distribution as the original
The solution I was planning to implement (following the old post cited) is:
1) Compute the quantiles over the known data
2) Generate a uniformly distributed U in (0,1)
3) Find the quantile corresponding to U
4) Using U's offset from the left end of the quantile, compute the daily
movement for the synthetic stock
Below is the function I came up with. Two questions:
1) Is there an existing R function to do that?
2) Is this a sound approach?
Thanks in advance!
rsample = function(s, n, step=0.01)
{
qs = quantile(s, probs=seq(0, 1, step))
res = rep(0, n)
unif = runif(n)
for(i in 1:n)
{
uu = unif[i]
# find uu's quantile
qid = ceiling(uu / step)
qleft = (qid - 1)*step
# compute the result using uu's offset within the quantile
res[i] = as.numeric(qs[qid]) + ((uu - qleft)/step)*(as.numeric(qs[qid+1])
- as.numeric(qs[qid]))
}
return(res)
}
> From: gunter.ber...@gene.com
> To: greg.s...@imail.org; ivan.popiva...@hotmail.com; r-help@r-project.org
> Subject: RE: [R]A random number from any distribution?þ
> Date: Mon, 14 Dec 2009 13:04:37 -0800
>
> Sounds like the poster might be interested in bootstrap sampling ...
> As usual, what's the question of interest?
>
> Bert Gunter
> Genentech Nonclinical Biostatistics
>
>
> -----Original Message-----
> From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On
> Behalf Of Greg Snow
> Sent: Monday, December 14, 2009 12:45 PM
> To: ivan popivanov; r-help@r-project.org
> Subject: Re: [R]A random number from any distribution?â
>
> Look at the logspline package for an alternative.
>
> --
> Gregory (Greg) L. Snow Ph.D.
> Statistical Data Center
> Intermountain Healthcare
> greg.s...@imail.org
> 801.408.8111
>
>
> > -----Original Message-----
> > From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-
> > project.org] On Behalf Of ivan popivanov
> > Sent: Saturday, December 12, 2009 7:38 PM
> > To: r-help@r-project.org
> > Subject: [R] A random number from any distribution?â
> >
> >
> > Hello,
> >
> > I have some data, and I want to generate random numbers following the
> > distribution of this data (in other words, to generate a synthetic data
> > set sharing the same stats as a given data set). Reading an old thread
> > I found the following text:
> >
> > >If you can compute the quantile function of the distribution (i.e.,
> > the
> > >inverse of the integral of the pdf), then you can use the probability
> > >integral transform: If U is a U(0,1) random variable and Q is the
> > quantile
> > >function of the distribution F, then Q(U) is a random variable
> > distributed
> > >as F.
> >
> > That sounds good, but is there a quick way to do this in R? Let's say
> > my data is contained in "ee", I can get the quantiles using:
> >
> > qq = quantile(ee, probs=(0,1,0.25))
> > 0% 25% 50% 75% 100%
> > -0.2573385519 -0.0041451053 0.0004538924 0.0049276991 0.1037823292
> >
> > Then I "know" how to use the above method to generate Q(U) (by looking
> > up U in the first row, and then mapping it to a number using the second
> > row), but is there an R function that does that? Otherwise I need to
> > write my own to lookup the table.
> >
> > Thanks in advance,
> > Ivan
> >
> > _________________________________________________________________
> >
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/posting-
> > guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
_________________________________________________________________
Windows Live: Make it easier for your friends to see what youâre up to on
Facebook.
http://go.microsoft.com/?linkid=9691816
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
