Aptech Systems, Inc. Worldwide Headquarters
Aptech Systems, Inc.
2350 East Germann Road, Suite #21
Chandler, AZ 85286
Ready to Get Started?
Request Quote & Product Information
Training & Events
Step-by-step, informative lessons for those who want to dive into GAUSS and achieve their goals, fast.
Have a Specific Question?
Q&A: Register and Login
Premier Support and Platinum Premier Support are annually renewable membership programs that provide you with important benefits including technical support, product maintenance, and substantial cost-saving features for your GAUSS System or the GAUSS Engine.
Join our community to see why our users are considered some of the most active and helpful in the industry!
Where to Buy
Recent Tagsapplications character vectors CML CMLMT Constrained Optimization datasets dates dlibrary dllcall error error handling errors Excel FANPACMT file i/o floating network GAUSS Engine graphics GUI hotkeys installation Java API license licensing linux loading data matrices matrix matrix manipulation Maxlik MaxLikMT Memory optimization Optmum output PQG graphics procs RAM random numbers string functions strings structures threading Time Series writing data
Time Series 2.0 MT
Find out more now
Time Series MT 2.1
Random variable from truncated gumbel distribution
Hi there. What would be the easiest way to generate random variables following Truncated Gumbel Distribution in Gauss? For example, gumbel distribution with upper bound.
Below is a function that calculates the inverse truncated Gumbel distribution.
proc (1) = cdfGumbelTruncInv(p, a, b); local tmp, x, index, size; tmp = exp(-exp(b./a)); x = -a .* ln(-ln((1-tmp) .* p + tmp)) + b; //check for p == 1 index = indexcat(p, (1-__macheps)|__infp); if not scalmiss(index); if rows(p) == 1; size = maxc(rows(a)|rows(b)); retp(reshape(__infp, size, 1)); endif; x[index] = __infp; endif; //check for p == 0 index = indexcat(p, __infn|(0+__macheps)); if not scalmiss(index); if rows(p) == 1; size = maxc(rows(a)|rows(b)); retp(zeros(size, 1)); endif; x[index] = 0; endif; retp(x); endp;
By passing uniform random numbers into this function you should get random numbers with the truncated Gumbel distribution.
r = rndu(100, 1); r_gumbel = cdfGumbelTruncInv(r, 1, 1);