Beruflich Dokumente
Kultur Dokumente
1) Marco Teórico
Este método se utiliza cuando se desea simular variables de tipo continuo. El método utiliza la
distribución acumulada F(x) de la distribución de probabilidad que se va a simular mediante
integración. Ya que el rango de F(x) se encuentra en el intervalo 0 a 1, puede generarse un número
aleatorio ri para determinar el valor de la variable aleatoria cuya distribución acumulada es igual,
precisamente, a ri. La dificultad de este método radica en que algunas veces es complicado
encontrar la transformada inversa.
METODOLOGÍA
Despejar xi
Ejemplo 1.-
3
0≤𝑥≤1
4
15 9 5
𝑓(𝑥) = − 𝑥 1≤ 𝑥≤
8 8 3
0 𝑒. 𝑜. 𝑐
{
i) 𝐹(𝑥) ≥ 0
𝑥
∫ 𝐹(𝑥) 𝑑𝑥 = 0
−∞
ii) ∫ 𝐹(𝑥) 𝑑𝑥 = 1
𝑥 𝑥
3
∫ 𝐹(𝑥) 𝑑𝑥 + ∫ 𝑑𝑥 = 0
4
−∞ 0
3 3
𝑥| = 𝑥
4 4
𝑏
iii) P(a≤ x≤ b) = ∫𝑎 𝐹(𝑥) 𝑑𝑥
0 1 𝑥
3 15 9 9 2 15 9
∫ 𝐹(𝑥) 𝑑𝑥 + ∫ 𝑑𝑥 + ∫ − 𝑥 𝑑𝑥 = 𝑥 − 𝑥−
4 8 8 16 8 16
−∞ 0 1
iv)
5
0 1 3
3 15 9 3 1
∫ 𝐹(𝑥) 𝑑𝑥 + ∫ 𝑑𝑥 + ∫ − 𝑥 𝑑𝑥 = 0 + + = 1
4 8 8 4 4
−∞ 0 1
3
𝑥 0≤𝑥≤1
4
9 2 15 9 5
− 𝑥 + 𝑥− 1≤ 𝑥≤
𝑓(𝑥) = 16 8 16 3
0 𝑥≤0
5
1 𝑥≥
{ 3
3 4
𝑥 = 𝑅1 → 𝑥 = 𝑅1
4 3
Prueba del ejemplo 1 en R
> n=100
> lambda=2
> x<- c()
> Fx<- c()
> for(j in 1:n){
+ R=runif(1,min=0,max=1)
+ if(R>=0 && R<0.75){
+ Y=4/3*R
+ }else{
+ if(R>=0.75 && R<=1){
+ Y=1/3*(5-(4*sqrt(1-R)))
+}
+}
+ Fx[j]<-R
+ x[j]<-Y
+}
> Fx
[1] 0.22399285 0.73420437 0.38396422 0.92306162 0.40631944 0.83731030
[7] 0.52202451 0.66566900 0.61932323 0.08380087 0.10909339 0.31258911
[13] 0.82275058 0.49931171 0.87188749 0.29008473 0.90023499 0.70150524
[19] 0.17244812 0.43510347 0.76271403 0.99056672 0.72850155 0.01730019
[25] 0.34156322 0.44071113 0.36013448 0.66208248 0.31698007 0.72990547
[31] 0.23471697 0.97613250 0.15417552 0.74945352 0.65149924 0.40555711
[37] 0.39654699 0.01945761 0.33185208 0.23147731 0.32969170 0.20133965
[43] 0.78421044 0.33688616 0.25497972 0.35620550 0.53407447 0.50542758
[49] 0.52392089 0.87484516 0.15642962 0.44550169 0.04444295 0.94034841
[55] 0.40223619 0.31870851 0.48941626 0.07782948 0.14968662 0.38361559
[61] 0.38041538 0.17259200 0.10091600 0.17902898 0.44686691 0.70512808
[67] 0.67823583 0.71398215 0.67860089 0.63658434 0.72385283 0.98699714
[73] 0.70321369 0.34452486 0.28521542 0.54247612 0.59727122 0.31587597
[79] 0.47352825 0.01211604 0.41145221 0.93402361 0.01563249 0.22558491
[85] 0.66573900 0.31459694 0.35426412 0.06301552 0.66751991 0.59856188
[91] 0.92523439 0.47786926 0.35850852 0.62820398 0.08203566 0.96577753
[97] 0.21840150 0.77581238 0.69000047 0.61903870
>x
[1] 0.29865713 0.97893916 0.51195230 1.29682976 0.54175926 1.12886918
[7] 0.69603268 0.88755867 0.82576431 0.11173450 0.14545786 0.41678548
[13] 1.10532000 0.66574894 1.18942922 0.38677965 1.24552533 0.93534032
[19] 0.22993082 0.58013796 1.01717324 1.53716655 0.97133541 0.02306692
[25] 0.45541763 0.58761483 0.48017931 0.88277664 0.42264010 0.97320729
[31] 0.31295596 1.46067853 0.20556735 0.99927136 0.86866566 0.54074281
[37] 0.52872932 0.02594347 0.44246944 0.30863641 0.43958893 0.26845287
[43] 1.04729126 0.44918155 0.33997296 0.47494066 0.71209929 0.67390343
[49] 0.69856119 1.19497026 0.20857282 0.59400226 0.05925726 1.34101766
[55] 0.53631492 0.42494468 0.65255502 0.10377264 0.19958216 0.51148745
[61] 0.50722051 0.23012266 0.13455466 0.23870531 0.59582254 0.94017077
[67] 0.90431444 0.95197619 0.90480118 0.84877912 0.96513710 1.51462657
[73] 0.93761825 0.45936648 0.38028723 0.72330149 0.79636163 0.42116796
[79] 0.63137100 0.01615473 0.54860294 1.32418841 0.02084332 0.30077987
[85] 0.88765200 0.41946258 0.47235216 0.08402069 0.89002655 0.79808251
[91] 1.30208932 0.63715902 0.47801135 0.83760530 0.10938088 1.42000911
[97] 0.29120200 1.03535394 0.92000062 0.82538494
> plot(x,Fx,cex=1,type="p",pch=1,xlab="x",ylab="Fx",col="black",axes=FALSE)
> plot(x,Fx,cex=1,type="h",pch=1,xlab="x",ylab="Fx",col="black")
> par(new=TRUE)
> plot(x,Fx,cex=1,type="p",pch=1,xlab="x",ylab="Fx",col="black",axes=FALSE)
>
Ejemplo 2.-
1
4
1≤𝑥≤2
5
𝑓(𝑥) = −𝑥 + 4 0≤ 𝑥≤1
0 𝑒. 𝑜. 𝑐
{
i) 𝐹(𝑥) ≥ 0
𝑥
∫ 𝐹(𝑥) 𝑑𝑥 = 0
−∞
ii) ∫ 𝐹(𝑥) 𝑑𝑥 = 1
𝑥 𝑥
5
∫ 𝐹(𝑥) 𝑑𝑥 + ∫ − 𝑥 𝑑𝑥 = 0
4
−∞ 1
5 𝑥2
𝑥- 0≤ 𝑥≤1
4 4
𝑏
iii) P(a≤ x≤ b) = ∫𝑎 𝐹(𝑥) 𝑑𝑥
0 𝑥 1
1 5 1 5
∫ 𝐹(𝑥) 𝑑𝑥 + ∫ 𝑑𝑥 + ∫ − 𝑥 𝑑𝑥 = − 𝑥 2 − 𝑥 0 ≤ 𝑥 ≤ 1
4 4 2 4
−∞ 1 0
iv)
0 2 1
1 5 1 3
∫ 𝐹(𝑥) 𝑑𝑥 + ∫ 𝑑𝑥 + ∫ −𝑥 + 𝑑𝑥 = 0 + + = 1
4 4 4 4
−∞ 1 0
5 𝑥2
𝑅1 = 𝑥−
4 2
5−√25−32𝑅1 3
𝑥= 0<R1<4
4
1 1
𝑅2 = − 𝑥
2 4
3
x=4𝑅2 – 2 4<R2<1
> n=100
> lambda=2
+ R=runif(1,min=0,max=1)
+ }else{
+ Y=1/4*(5-(sqrt(25-32*R)))
+}
+}
+ Fx[j]<-R
+ x[j]<-Y
+}
> Fx
>x
> plot(x,Fx,cex=1,type="p",pch=1,xlab="x",ylab="Fx",col="black")
> plot(x,Fx,cex=1,type="h",pch=1,xlab="x",ylab="Fx",col="black")
> par(new=TRUE)
> plot(x,Fx,cex=1,type="p",pch=1,xlab="x",ylab="Fx",col="black",axes=FALSE)
>