[Numpy-discussion] Conditional random variables

[josef.pktd at gmail.com]

On Mon, Jul 4, 2011 at 10:13 PM, Ted To <rainexpected at theo.to> wrote:
> Hi,
>
> Is there an easy way to make random draws from a conditional random
> variable?  E.g., draw a random variable, x conditional on x>=\bar x.

If you mean here truncated distribution, then I asked a similar
question on the scipy user list a month ago for the normal
distribution.

The answer was use rejection sampling, Gibbs or MCMC.

I just sample from the original distribution and throw away those
values that are not in the desired range. This works fine if there is
only a small truncation, but not so well for distribution with support
only in the tails. It's reasonably fast for distributions that
numpy.random produces relatively fast.

(Having a bi- or multi-variate distribution and sampling y conditional
on given x sounds more "fun".)

Josef


>
> Thank you,
> Ted To
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