How to implement MonteCarlo integration of probability density function to obtain CDF

9 vues (au cours des 30 derniers jours)
Hello:
I have a probability density function obtained from convolution process of two random variables. Hence, I don't have the functional form of the PDF. Now, I am interested to integrate the PDF numerically using Montecarlo method. I came across a few file exchage page, for example: https://de.mathworks.com/matlabcentral/fileexchange/53477-monte-carlo-integration
But above require functional form. Any suggestions/help how do I integrate the PDF using Montecarlo method to get corresponding CDF?
  4 commentaires
John D'Errico
John D'Errico le 11 Oct 2019
Modifié(e) : John D'Errico le 11 Oct 2019
Note that trapezoidal rule integration is not an EXACT integral. It is an approximation. The magnitude of the error will be impacted by the increment, generally larger for larger increments. So why are you surprised at the result?
Poulomi Ganguli
Poulomi Ganguli le 11 Oct 2019
So, I want MonteCarlo method to get better CDF estimate.

Connectez-vous pour commenter.

Réponse acceptée

Abhishek Kumar
Abhishek Kumar le 8 Déc 2020
Hi Poulomi, as I understand you have PDF of your desired function as convolution of two random functions(assuming f1,f2), you also have the file exchange script as you have mentioned hence you can use the following strategy.
(desired PDF as pdf)
pdf = conv(f1,f2);
[cdf,E,R,info]=integralN_mc(pdf);
"integralN_mc" being the function created under the script, you can use other variations of the functions as described in the script as well.
Please do share what input random functions you are using for further help if your query is not resolved.

Plus de réponses (0)

Catégories

En savoir plus sur Numerical Integration and Differentiation dans Help Center et File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by