
:) 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.berton@gene.com
> To: Greg.Snow@imail.org; ivan.popivanov@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-bounces@r-project.org [mailto:r-help-bounces@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?‏
> 
> Look at the logspline package for an alternative.
> 
> -- 
> Gregory (Greg) L. Snow Ph.D.
> Statistical Data Center
> Intermountain Healthcare
> greg.snow@imail.org
> 801.408.8111
> 
> 
> > -----Original Message-----
> > From: r-help-bounces@r-project.org [mailto:r-help-bounces@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?‏
> > 
> > 
> > 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.
> 
 		 	   		  
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