Suppose I define a function in mathematica that has all of the properties of a valid probability density function. Would it be possible to have Mathematica simulate a random sample of a given size of values from this PDF? For example, if I define a function which is the PDF of a beta distribution, can I collect ten thousand "instances" or random samples from this PDF for statistical analysis? If so, how would I do this? Despite my example, I am specifically interested in being able to use my own defined PDF, not necessarily a built-in one that Mathematica already has.
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$\begingroup$ seen Oleksandr Pavlyk's Creating Your Own Distribution in Wolfram Conference 2011? $\endgroup$– kglrCommented Feb 14, 2018 at 2:03
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1 Answer
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You can use ProbabilityDistribution for this. Your example pdf:
pdf = PDF[BetaDistribution[1.2, 3.2], x];
pdf //TeXForm
$\begin{cases} 4.554304156477517` (1-x)^{2.2`} x^{0.19999999999999996`} & 0<x<1 \\ 0 & \operatorname{True} \end{cases}$
And using ProbabilityDistribution:
RandomVariate[ProbabilityDistribution[pdf, {x, 0, 1}], 10]
{0.0287507, 0.274103, 0.1581, 0.524414, 0.496944, 0.0579204, 0.204799, 0.230026, 0.140485, 0.438046}
answered Feb 14, 2018 at 1:57
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$\begingroup$ This is helpful, thank you. But suppose I want to use my own PDF, (say one that I have defined as a function), not one that Mathematica has built-in. How would I do that? $\endgroup$ Commented Feb 14, 2018 at 2:02
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$\begingroup$ @ereHsaWyhsipS Just replace
pdfwith your chosen function. $\endgroup$ Commented Feb 14, 2018 at 2:04