73 lines
2.4 KiB
Plaintext
73 lines
2.4 KiB
Plaintext
scale = 8
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/* seed = 12345678910 */
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pi = 4 * atan(1)
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normal90confidence=1.6448536269514727148638489079916
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/* Distribution & sampling functions */
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/* Unit distributions */
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define sample_unit_uniform(){
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return rand()/maxrand()
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}
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define sample_unit_normal(){
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u1=sample_unit_uniform()
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u2=sample_unit_uniform()
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z = sqrt(-2 * l(u1)) * sin(2 * pi * u2)
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return z
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}
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/* Composite distributions */
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define sample_uniform(min, max){
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return (min + sample_unit_uniform()*(max-min))
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}
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define sample_normal(mean, sigma){
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return (mean + sigma * sample_unit_normal())
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}
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define sample_lognormal(logmean, logstd){
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return e(sample_normal(logmean, logstd))
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}
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define sample_normal_from_90_confidence_interval(low, high){
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/*
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Explanation of key idea:
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1. We know that the 90% confidence interval of the unit normal is
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[-1.6448536269514722, 1.6448536269514722]
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see e.g.: https://stackoverflow.com/questions/20626994/how-to-calculate-the-inverse-of-the-normal-cumulative-distribution-function-in-p
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or https://www.wolframalpha.com/input?i=N%5BInverseCDF%28normal%280%2C1%29%2C+0.05%29%2C%7B%E2%88%9E%2C100%7D%5D
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2. So if we take a unit normal and multiply it by
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L / 1.6448536269514722, its new 90% confidence interval will be
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[-L, L], i.e., length 2 * L
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3. Instead, if we want to get a confidence interval of length L,
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we should multiply the unit normal by
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L / (2 * 1.6448536269514722)
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Meaning that its standard deviation should be multiplied by that amount
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see: https://en.wikipedia.org/wiki/Normal_distribution?lang=en#Operations_on_a_single_normal_variable
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4. So we have learnt that Normal(0, L / (2 * 1.6448536269514722))
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has a 90% confidence interval of length L
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5. If we want a 90% confidence interval from high to low,
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we can set mean = (high + low)/2; the midpoint, and L = high-low,
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Normal([high + low]/2, [high - low]/(2 * 1.6448536269514722))
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*/
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mean = (high + low) / 2.0
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std = (high - low) / (2.0 * normal90confidence)
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return sample_normal(mean, std)
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}
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define sample_to(low, high){
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/*
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Given a (positive) 90% confidence interval,
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returns a sample from a lognorma with a matching 90% c.i.
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Key idea: If we want a lognormal with 90% confidence interval [a, b]
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we need but get a normal with 90% confidence interval [log(a), log(b)].
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Then see code for sample_normal_from_90_confidence_interval
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*/
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loglow = l(low)
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loghigh = l(high)
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return e(sample_normal_from_90_confidence_interval(loglow, loghigh))
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}
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