Generating the maximum of independent identically distributed random variables
نویسندگان
چکیده
منابع مشابه
Generating the Maximum of Independent Identically Distributed Random Variables
Frequently the need arises for the computer generation of variates that are exact/y distributed as 2 = max(X,, . , X.) where X,, . . . , X, form a sequence of independent identically distributed random variables. For large n the individual generation of the Xi’s is unfeasible, and the inversion-of-a-beta-variate is potentially inaccurate. In this paper, we discuss and compare the corrected inve...
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Many engineering applications require the calculation of the distribution of the maximum of a number n of indendent, identically distributed (iid) variables. A typical situation is the design of a system for the “n-year demand” when the maximum demands in different years are iid (design of a dam for the n-year flood, design of an offshore platform for the n-year wave, design of a building for t...
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Let Sk be the k-th partial sum of Banach space valued independent identically distributed random variables. In this paper, we compare the tail distribution of ‖Sk‖ with that of ‖Sj‖, and deduce some tail distribution maximal inequalities. The main result of this paper was inspired by the inequality from [dP–M] that says that Pr(‖X1‖ > t) ≤ 5 Pr(‖X1 +X2‖ > t/2) whenever X1 and X2 are independent...
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ژورنال
عنوان ژورنال: Computers & Mathematics with Applications
سال: 1980
ISSN: 0898-1221
DOI: 10.1016/0898-1221(80)90039-5