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The Stata Journal (2011)
11, Number 2, pp. 299–304

Generating random samples from user-defined

distributions
Katarı́na Lukácsy
Central European University
Budapest, Hungary
lukacsy [email protected]

Abstract. Generating random samples in Stata is very straightforward if the

distribution drawn from is uniform or normal. With any other distribution, an
inverse method can be used; but even in this case, the user is limited to the built-
in functions. For any other distribution functions, their inverse must be derived
analytically or numerical methods must be used if analytical derivation of the
inverse function is tedious or impossible. In this article, I introduce a command
that generates a random sample from any user-specified distribution function using
numeric methods that make this command very generic.
Keywords: st0229, rsample, random sample, user-defined distribution function,
inverse method, Monte Carlo exercise

1 Introduction
In statistics, a probability distribution identifies the probability of a random variable.
If the random variable is discrete, it identifies the probability of each value of this vari-
able. If the random variable is continuous, it defines the probability that this variable’s
value falls within a particular interval. The probability distribution describes the range
of possible values that a random variable can attain, further referred to as the sup-
port interval, and the probability that the value of the random variable is within any
(measurable) subset of that range.
Random sampling refers to taking a number of independent observations from a
probability distribution. Typically, the parameters of the probability distribution (of-
ten referred to as true parameters) are unknown, and the aim is to retrieve them using
various estimation methods on the random sample generated from this probability dis-
tribution.
For example, consider a normally distributed population with true mean μ and true
variance σ 2 . Assume that we take a sample of a given size from this population and
calculate its mean and standard deviation—these two statistics are called the sample
mean and the sample standard deviation. Depending on the estimation method used,
the sample size, and other factors, these two statistics can be shown to asymptotically
converge to the true parameters of the original probability distribution and are thus
good approximations of these values.


c 2011 StataCorp LP st0229
300 Random samples

The researcher may wish to evaluate the accuracy of the estimation method prior
to using it on real data. In such a case, a random sample generated from a distribution
with known true parameters can be used, and its estimated sample parameters can be
compared with the true parameters to establish the accuracy of the estimation method.
Taking our previous example, we can use a random sample generated from a normal
distribution with parameters μ = 0 and σ 2 = 1; we can estimate its sample mean
by taking the arithmetic average, and we can estimate its sample variance by taking
the arithmetic average of the squared errors. If these two values are reasonably close
enough to the true values of these parameters, we can conclude that our estimation
method (arithmetic averaging) is accurate.
In this article, I introduce a command that generates random samples from user-
specified probability distribution functions with known parameters that can be used,
among other applications, in such simulation exercises.

2 Probability distributions in Stata

A probability distribution can take on any functional form as long as it fulfills certain
conditions; namely, it must be nonnegative and it must integrate or sum to one. Some
probability distributions have become so widely used that they have been given specific
names. Two of the most important are the normal and the uniform distributions; among
others are, for example, β, χ2 , F , γ, Bernoulli, Poisson, logarithmic, and lognormal
distributions. For more information on basic statistics and random sampling, refer to
Gentle (2003) and Lind, Marchal, and Wathen (2008).
Several built-in random-number functions such as runiform(), rbeta(a,b),
rbinomial(n,p), rchi2(df), etc., are available to generate a random sample in Stata 10
and later versions. However, if a sample is to be drawn from any other distribution
function, an inverse cumulative distribution function method must be used to apply an
inverse distribution function on a uniform random sample. This method builds on the
fact that if x is a continuous random variable with cumulative distribution function Fx ,
and if u = Fx (x), then u has a uniform distribution on (0, 1). It holds then that if u has
a uniform distribution on (0, 1) and if x is defined as x = Fx−1 (u), then x has cumulative
distribution function Fx . This essentially means equation u = Fx (x) must be solved
for x. For more information on the inverse cumulative distribution function method
and its applications to simulation experiments, refer to Ulrich and Watson (1987) and
Avramidis and Wilson (1994).
To apply this method, a number of built-in inverse cumulative distributions are avail-
able, such as invibeta(a,b,p), invbinomial(n,k,p), invchi2(n,p), invF(n1,n2,p),
invnormal(p), etc. They can be applied to generate random samples as outlined in the
following two examples, which generate a normally and a χ2 distributed series my normal
and my chi2, respectively:

generate my normal = invnormal(runiform())

generate my chi2 = invchi2(n,runiform())
K. Lukácsy 301

However, a user may wish to draw a random sample from a distribution that is not
built in Stata. In such a case, the inverse distribution function must be algebraically
derived so that the inverse cumulative distribution function method can be used. But
sometimes, the inverse of a function cannot be expressed by a formula. For example,
if f is the function f (x) = x + sin(x), then f is a one-to-one function and therefore
possesses an inverse function f −1 . However, there is no simple formula for this inverse,
because the equation y = x + sin(x) cannot be solved algebraically for x. In this case,
numerical methods must be applied to match the values of x and y.

3 The rsample command

The syntax of the rsample command is
( )
rsample pdf function , left(#) right(#) bins(#) size(#) plot(#)

This command generates the random variables into a new variable called rsample.
pdf function is required. It is a string that specifies the probability distribution
function that the random sample is to be drawn from. It must be formulated in terms
of x, for example, exp(-x^2), although no x variable needs to exist prior to command
execution.
Two properties must normally hold for the probability distribution functions:

1. They must be nonnegative on the whole support interval of the random variable.

2. They must sum or integrate to 1.

The second condition does not have to be fulfilled in this case because the rsample
command calculates what the pdf function sums or integrates up to and uses that value
as a rescaling factor. This way, a rescaled pdf function is used that always integrates
or sums to 1. The first condition, however, must be fulfilled. If it is violated, an
error message appears that reminds the user to supply a nonnegative pdf function. The
rescaling constant always appears on the screen.
left(#) and right(#) specify the support interval, that is, all values that the
random variable can attain. left() must be specified to be less than right(). If these
values are not specified, they take on default values of -2 and 2, respectively.
bins(#) specifies the number of bins into which the support interval is split for the
purposes of the algorithm. Essentially, it allows the user to specify the precision of the
algorithm. If this value is not specified, it takes on a default value of 1000. However,
if this value (whether defined by the user or its default) exceeds the total number of
observations (whether defined by the corresponding optional parameter or by the size
of the existing Stata file), it is automatically set to equal one-fifth of the total number
of observations.
302 Random samples

size(#) specifies the number of observations to be generated. The default is

size(5000). If this value is specified even though the command is executed in an
existing Stata session with a nonzero number of observations, then this value is not
used and the original number of observations is preserved.
plot(#) allows the user to choose whether results will be presented graphically in
a histogram or whether no graphical view is needed. It is a binary option; that is, it
can only take on values 1 and 0, where 1 is for “yes” and 0 is for “no”. The default is
plot(1).

4 Examples
In this section, I provide several specific examples with various pdf functions and various
optional parameters specified. The graphical representations of the last three examples
are presented in figures 1, 2, and 3 in the form of histograms of the generated random
values. These three examples were generated from normal, lognormal, and Laplace
distribution functions, respectively.

. rsample exp(-x^2), left(-2.5) right(2.5)

. rsample exp(-abs(x)), left(-4) right(4) bins(500)
. rsample exp(-abs(x)), left(-4) right(4) size(500)
. rsample exp(-abs(x)), plot(0)
. rsample exp(-log(x)^2), left(0.1) right(6) bins(300) size(3000) plot(0)
. rsample exp(-x^2)
. rsample exp(-log(x)^2), left(0.1) right(6)
. rsample exp(-abs(x)), left(-4) right(4)
.8
.6
Density
.4.2
0

−2 −1 0 1 2
values

random sample
theoretical pdf

Figure 1. Random sample from a normal distribution function

K. Lukácsy 303

.3 .5
.4
Density
.2
.1
0

0 2 4 6
values

random sample
theoretical pdf

Figure 2. Random sample from a lognormal distribution function

.6
.4
Density
.2
0

−4 −2 0 2 4
values

random sample
theoretical pdf

Figure 3. Random sample from a Laplace distribution function

5 References
Avramidis, A. N., and J. R. Wilson. 1994. A flexible method for estimating inverse
distribution functions in simulation experiments. ORSA Journal on Computing 6:
342–355.
Gentle, J. E. 2003. Random Number Generation and Monte Carlo Methods. 2nd ed.
New York: Springer.
Lind, D. A., W. G. Marchal, and S. A. Wathen. 2008. Basic Statistics for Business and
Economics. 6th ed. New York: McGraw–Hill.
304 Random samples

Ulrich, G., and L. T. Watson. 1987. A method for computer generation of variates
from arbitrary continuous distributions. SIAM Journal on Scientific Computing 8:
185–197.

About the author

Katarı́na Lukácsy works as a statistical analyst for a large multinational company primarily
focusing on improving the relevance of search results and related issues. Currently, she is
finalizing her PhD dissertation on price-setting mechanisms from statistical, econometrical,
and theoretical viewpoints.