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| invpoissondistribution http://forum.alglib.net/viewtopic.php?f=2&t=527 |
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| Author: | CP2587 [ Thu Jan 26, 2012 12:07 am ] |
| Post subject: | invpoissondistribution |
Hi everyone, I use alglib as a random number generator and ,in particular, i am working with the function invpoissondistribution to simulate a random variable following a poisson. However, with this piece of code, { double Demand[1000]; double mean(0); for(int i(0);i<1000;i++) { Demand[i]=invpoissondistribution(40,randomreal()); mean=Demand[i]+mean; } return mean/1000; } I get that the mean is approximately 41 (41.15 exactly). How is that possible when the mean should be 40 ? What do I miss ? Thanks, |
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| Author: | Sergey.Bochkanov [ Fri Jan 27, 2012 5:37 am ] |
| Post subject: | Re: invpoissondistribution |
Asymptotic mean should be 40, but finite-sample mean can deviate from asymptotic value with average error roughly proportional to 1/sqrt(sample_size). If you increase sample size from 1000 to 100000 you should see ten times smaller error. |
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