[R] Generate random variate from a non-parametric hazard function
Peter Dalgaard
p.dalgaard at biostat.ku.dk
Sat Oct 24 13:38:28 CEST 2009
Samiul Hasan wrote:
> Hi
> I have estimated a hazard function using a kernel based method. Now i have
> to generate a random variate that follows this hazard function. Does any one
> know method I should use to generate the variate.
>
> Thanks
> Samiul
As far as I remember, the relation that you need is that if Lambda is
the _integrated_ intensity function for a random variable X, then
Lambda(X) has a unit exponential distribution. So the strategy is to
figure out how to calculate and invert Lambda, then use invLambda(rexp(N)).
--
O__ ---- Peter Dalgaard Øster Farimagsgade 5, Entr.B
c/ /'_ --- Dept. of Biostatistics PO Box 2099, 1014 Cph. K
(*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907
More information about the R-help
mailing list