vendredi 25 septembre 2020

Given a exponential probability density function, how to generate random values using the random generator in Excel?

Based on a set of experiments, a probability density function (PDF) for an exponentially distributed variable was generated. Now the goal is to use this function in a Monte carlo simulation. I am vaguely familiar with PDF's and random generator, especially for normal and log-normal distributions. However, I am not quite able to figure this out. Would be great if someone can help.

Here's the function:

f = γ/2R * exp⁡(-γl/2R) (1-exp⁡(-γ) )^(-1) H (2R-l)

  • f is the probability density function,
  • 1/γ is the mean of the distribution,
  • R is a known fixed variable,
  • H is the heaviside step function,
  • l is the variable that is exponentially distributed



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