Random draws from conditional multinomial distribution
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I have to simulate data for 100 agents over 10,000 time periods for a variable, x. The initial value of x at time 0 for all agents is 0. The distribution of 
is a multinomial distribution, conditional on the past period's value, 
. Basically, 
can remain unchanged with probability 0.2, increase by 2571 with probability 0.5, increase by 2571*2 with probability 0.2, and increase by 2571*3 with probability 0.1, at any period. 
can never be lower than 
. How do I generate random values for this distribution?
is a multinomial distribution, conditional on the past period's value, . Basically, can remain unchanged with probability 0.2, increase by 2571 with probability 0.5, increase by 2571*2 with probability 0.2, and increase by 2571*3 with probability 0.1, at any period. can never be lower than . How do I generate random values for this distribution?I have tried:
x = mnrnd()
command, but I can't fit it to these specifications. Any help would be greatly appreciated!
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Alan Stevens
2021-10-26
Something like
u = rand(1)
if u<0.2
d = 0;
elseif u<0.7
d = 2571;
elseif u<0.9
d = 2571^2;
else
d = 2571^3;
end
x(t) = x(t-1) + d;
(the last line assumes t is an integer).
5 个评论
Laura Freitas
2021-10-26
Alan Stevens
2021-10-26
If you turn that code into a function you can call it for each 'agent'.
I don't know what you mean by ' ..representative of a multinomial distribution'. You have specified the way the increases are applied with their corresponding probabilities. I've merely suggested a way of implementing that.
Laura Freitas
2021-10-26
Alan Stevens
2021-10-26
function xnew = fn(x,t)
u = rand;
if u<0.2
d = 0;
elseif u<0.7
d = 2571;
elseif u<0.9
d = 2571^2;
else
d = 2571^3;
end
x(t) = x(t-1) + d;
end
Note that functions go at the end of a script.
Laura Freitas
2021-10-26
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