[R] Generate random variate from a non-parametric hazard function

Peter Dalgaard
Sat, 24 Oct 2009 11:38:28 -0000

Samiul Hasan wrote:
> Hi
> I have estimated a hazard function using a kernel based method. Now i have
> to generate a random variate that follows this hazard function. Does any
one
> know method I should use to generate the variate.
>
> Thanks
> Samiul

As far as I remember, the relation that you need is that if Lambda is
the _integrated_ intensity function for a random variable X, then
Lambda(X) has a unit exponential distribution. So the strategy is to
figure out how to calculate and invert Lambda, then use invLambda(rexp(N)).

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