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GRAN6: Gauss procedure to generate Pareto-distributed random numbers

Author

Listed:
  • Urzúa, Carlos M.

    () (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

Generation of Pareto-distributed pseudo-random numbers using GAUSS (version 3.6 or later), by the inversion method. That is, generation of random variates that come from a density proportional to x^(-a-1), where a>0 and x>=b for some location parameter b>0. Zipf distribution is obtained when a=1.

Suggested Citation

  • Urzúa, Carlos M., 2007. "GRAN6: Gauss procedure to generate Pareto-distributed random numbers," EGAP Computer Code 2007-07, Tecnológico de Monterrey, Campus Ciudad de México.
  • Handle: RePEc:ega:comcod:200707
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/CC-2007-07.txt
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    Cited by:

    1. repec:kap:jfamec:v:38:y:2017:i:4:d:10.1007_s10834-017-9523-x is not listed on IDEAS

    More about this item

    Keywords

    Pareto distribution; Zipf distribution; Pareto random numbers; Zipf random numbers; pseudo-random numbers; variates; GAUSS;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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