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Topic: Kolmogorov-Smirnov-Lilliefors Test statistics
Replies: 10   Last Post: Jun 8, 2013 7:39 PM

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 Luis A. Afonso Posts: 4,758 From: LIsbon (Portugal) Registered: 2/16/05
Re: Kolmogorov-Smirnov-Lilliefors Test statistics
Posted: Sep 20, 2012 5:24 AM

How to simulate Fisk data:

FOR i = 1 TO N
h = RND
u = 1 / h - 1
x = 1 / SQR(u)
x(i) = x
md = md + x(i) / N
sum2 = sum2 + x(i) * x(i)
NEXT i

The CDF = 1/ (1+1/x^2) is invertible:
____1/CDF - 1 = 1/x2 , then
____ x = sqrt (1 / ( 1/CDF -1))

_________________

Compare with the Box-Muller way to simulate normal standard values:

a = SQR(-2 * LOG(RND))
X(i) = a * COS(2 * pi * RND)

Luís A. Afonso

Date Subject Author
9/16/12 Luis A. Afonso
9/18/12 Luis A. Afonso
9/20/12 Luis A. Afonso
9/20/12 Luis A. Afonso
9/22/12 Luis A. Afonso
9/22/12 Luis A. Afonso
6/4/13 Luis A. Afonso
6/5/13 Luis A. Afonso
6/5/13 Luis A. Afonso
6/7/13 Luis A. Afonso
6/8/13 Luis A. Afonso