Rank: 2917 based on 22 downloads (last 30 days) and 1 file submitted

Dave Dykes

E-mail: Contact Author
Lat/Long: 40.76, -73.99

Personal Profile:: Consultant on development of quantitative models and methods in finance.
Professional Interests:: GPU Computing, HPC, High-frequency market data

Files

Files Posted by Dave					1 - 1 of 1
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
13 Dec 2004		Obs. from Arbitrary PDF Generate a sample from an arbitrary PDF. Author: Dave Dykes	interpolation, arbitrary, sample, pdf, random, approximation	22	5	4.8 4.8 \| 5 ratings

Comments and Ratings on Dave's Files			View all 1 - 5 of 7
Updated	File	Comment by	Comments	Rating
16 Oct 2009	Obs. from Arbitrary PDF Generate a sample from an arbitrary PDF. Author: Dave Dykes	Seth
18 Nov 2008	Obs. from Arbitrary PDF Generate a sample from an arbitrary PDF. Author: Dave Dykes	Fasih, Ahmed	Valuable code to have. Code can be made faster by vectorizing the while loop, and also to return multiple draws from the distribution. Just make sure to validate your modifications with a non-symmetric distribution like a beta. This technique of random number generation is discussed here: http://en.wikipedia.org/wiki/Inverse_transform_sampling
17 Nov 2008	Obs. from Arbitrary PDF Generate a sample from an arbitrary PDF. Author: Dave Dykes	Lu, Alex	Thank you very much .for your excellent work, good luck
07 Nov 2008	Obs. from Arbitrary PDF Generate a sample from an arbitrary PDF. Author: Dave Dykes	Deoras, Ameya	This method is called CDF inversion - Generate a standard uniform random number and apply the inverse CDF of the distribution D to that number to obtain a new random number drawn from distribution D. This is available in MATLAB for a number of densities: eg: expinv, binoinv etc.. http://www.mathworks.com/access/helpdesk/help/toolbox/stats/bqttfc1.html#bqucf5l-2
09 Feb 2007	Obs. from Arbitrary PDF Generate a sample from an arbitrary PDF. Author: Dave Dykes	karauz, ibrahim

Top Tags Applied by Dave	1 - 5 of 6
approximation, arbitrary, interpolation, pdf, random

Files Tagged by Dave					1 - 1 of 1
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
13 Dec 2004		Obs. from Arbitrary PDF Generate a sample from an arbitrary PDF. Author: Dave Dykes	interpolation, arbitrary, sample, pdf, random, approximation	22	5	4.8 4.8 \| 5 ratings

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