If I sample a non-central chi-square distribution using a Poisson distribution, I am unable to alter the size and can only input the mean, "nc / 2" (I must set size = 1 or it also returns the same error):
n = np.random.poisson(nc / 2, 1) # generates a random variable from the poisson distribution with
# mean: non-centrality parameter / 2
x[t] = c * mp.nsum(lambda i: np.random.standard_normal() ** 2, [0, v + 2 * n])
If I attempt to increase the size to the number of simulations being run
n = np.random.poisson(nc / 2, simulations)
where simulations = 10000, I receive:
"ValueError: The truth value of an array with more than one element is ambiguous. Use a.any() or a.all()"
Running the code with 1 simulation produces one desired result, and every run produces another random path.
Graph created under 10,000 simulations with size = one
However, it is a necessity to have the graph composed of paths determined by each iteration of the simulation. Under a different condition, the non-central chi-square distribution is determined by the code:
x[t] = c * ((np.random.standard_normal(simulations) + nc ** 0.5) ** 2 + mp.nsum(
lambda i: np.random.standard_normal(simulations) ** 2, [0, v - 1]))
which does produce the desired result
Graph produced by the line of code above
How can I obtain a different path for x[t] despite not being able to change the size of the Poisson distribution (i.e. not have the same path for each of the 10,000 simulations)
If required:
import numpy as np
import matplotlib.pyplot as plt
from scipy.stats import stats
import mpmath as mp
T = 1
beta = 1.5
x0 = 0.05
q = 0
mu = x0 - q
alpha = - (2 - beta) * mu
sigma0 = 0.1
sigma = (2 - beta) * sigma0
b = - (1 - beta) / (2 * mu) * sigma ** 2
simulations = 10000
M = 50
dt = T / M
def srd_sampled_nxc2():
x = np.zeros((M + 1, simulations))
x[0] = x0
for t in range(1, M + 1):
v = 4 * b * alpha / sigma ** 2
c = (sigma ** 2 * (1 - np.exp(-alpha * dt))) / (4 * alpha)
nc = np.exp(-alpha * dt) / c * x[t - 1] # The non-centrality parameter lambda
if v > 1:
x[t] = c * ((np.random.standard_normal(simulations) + nc ** 0.5) ** 2 + mp.nsum(
lambda i: np.random.standard_normal(simulations) ** 2, [0, v - 1]))
else:
n = np.random.poisson(nc / 2, 1)
x[t] = c * mp.nsum(lambda i: np.random.standard_normal() ** 2, [0, v + 2 * n])
return x
x1 = srd_sampled_nxc2()
plt.figure(figsize=(10, 6))
plt.plot(x1[:, :10], lw=1)
plt.xlabel('time')
plt.ylabel('index')
plt.show()
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