Thumbnail
Access Restriction
Subscribed

Author Hora, Stephen C.
Source ACM Digital Library
Content type Text
Publisher Association for Computing Machinery (ACM)
File Format PDF
Language English
Subject Keyword Estimation of inverse functions
Abstract A regression method for estimating the inverse of a continuous cumulative probability function F(x) is presented. It is assumed that an ordered sample, X1, …, Xn, of identically and independently distributed random variables is available. A reference distribution F0(x) with known inverse F0-1(p) is used to calculate the quantities Wi = i ln[F0(Xi)/F0(Xi+1)]. These quantities are used to estimate the function γ(p) = pd ln≥F0[F-1(p)]⋦/dp from which an estimate of F-1(p) is derived. The method produces an estimate in a form that is convenient for random variate generation. The procedure is illustrated using data from a study of oil and gas lease bidding.
Description Affiliation: Texas Tech Univ., Lubbock (Hora, Stephen C.)
Age Range 18 to 22 years ♦ above 22 year
Educational Use Research
Education Level UG and PG
Learning Resource Type Article
Publisher Date 2005-08-01
Publisher Place New York
Journal Communications of the ACM (CACM)
Volume Number 26
Issue Number 8
Page Count 5
Starting Page 590
Ending Page 594


Open content in new tab

   Open content in new tab
Source: ACM Digital Library