4
$\begingroup$

I was implementing a simple scheme of Bernoulli distribution sampler. $ X \sim B(p) $. I have a function that generates a uniform random number $r \in (0,1)$. Then, I set $ X = 1 $ if $p > r $, and $X =0$ otherwise. Is this correct?

$\endgroup$
0

1 Answer 1

4
$\begingroup$

If $X$ is a Bernoulli random variable then $E[X]=p$ and $V[X]=p(1-p)$. For example:

> x <- rbinom(1000,1,0.3)
> mean(x)
[1] 0.302
> var(x)
[1] 0.211007

The most basic way to generate a Bernoulli sample is (Kachitvichyanukul and Schmeise): $$\begin{align} 1.&\quad x \leftarrow 0, k \leftarrow 0 \\ 2.&\quad \text{Repeat} \\ &\quad\quad \text{Generate } u\sim\mathcal{U}(0,1), k\leftarrow k + 1 \\ &\quad\quad \text{if }u\le p\text{ then } x \leftarrow x + 1\\ &\quad\text{Until }k = n \\ 3.&\text{Return}\end{align}$$ This algorithm generates $x$ successes out of $n$ trials, but can be slightly modified to generate a sample form the Bernoulli distribution. In R:

> rbernoulli <- function(n, p) {
+     x <- c()
+     for (i in 1:n) {
+         u <- runif(1,0,1)
+         if (u <= p)
+             x <- c(x, 1)
+         else
+             x <- c(x, 0)
+     }
+     return (x)
+ }
> x <- rbernoulli(1000, 0.3)
> mean(x)
[1] 0.314
> var(x)
[1] 0.2156196
$\endgroup$
2
  • 7
    $\begingroup$ Some comments: (1) rbernoulli can be written more succinctly (and far more efficiently) as rbernoulli <- function(n,p) runif(n) < p. Many people would find this much clearer than the pseudocode, too. (2) Checking the variance is redundant. A thorough verification of accuracy (assuming the values truly are independent) requires only (a) demonstrating that all the results are zeros or ones and (b) the proportion of ones is not significantly different from $p$. $\endgroup$
    – whuber
    Commented May 29, 2014 at 18:55
  • $\begingroup$ @ Whuber. Would it be possible for you to help to query? stats.stackexchange.com/questions/443370/… $\endgroup$
    – User20100
    Commented Jan 5, 2020 at 19:43

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.