Technical Note—Variate Generation for Accelerated Life and Proportional Hazards Models | Zendy

Lawrence M. Leemis | Zendy

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Technical Note—Variate Generation for Accelerated Life and Proportional Hazards Models

Author(s) -

Lawrence M. Leemis

Publication year - 1987

Publication title -

operations research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 3.797

H-Index - 140

eISSN - 1526-5463

pISSN - 0030-364X

DOI - 10.1287/opre.35.6.892

Subject(s) - random variate , covariate , poisson distribution , control variates , monte carlo method , cumulative distribution function , extension (predicate logic) , mathematics , statistics , proportional hazards model , computer science , statistical physics , markov chain monte carlo , random variable , probability density function , hybrid monte carlo , physics , programming language

We use accelerated life and proportional hazards lifetime models to account for the effects of covariates on a random lifetime. We find that variate generation algorithms for Monte Carlo simulation in both the renewal and nonhomogeneous Poisson process cases are a simple extension of the inverse cumulative distribution function cdf technique.

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