forum.alglib.net

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,

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.