Hörmann, Wolfgang and Derflinger, Gerhard
The Transformed Rejection Method for Generation Random Variables, an Alternative to the Ratio of Uniforms Method.
Preprint Series / Department of Applied Statistics and Data Processing, 10.
Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.
Theoretical considerations and empirical results show that the one-dimensional quality of non-uniform random numbers is bad and the discrepancy is high when they are generated by the ratio of uniforms method combined with linear congruential generators. This observation motivates the suggestion to replace the ratio of uniforms method by transformed rejection (also called exact approximation or almost exact inversion), as the above problem does not occur for this method. Using the function $G(x) =\left( \frac(a)(1-x)+b\right)x $ with appropriate $a$ and $b$ as approximation of the inverse distribution function the transformed rejection method can be used for the same distributions as the ratio of uniforms method. The resulting algorithms for the normal, the exponential and the t-distribution are short and easy to implement. Looking at the number of uniform deviates required, at the code length and at the speed the suggested algorithms are superior to the ratio of uniforms method and compare well with other algorithms suggested in literature. (author's abstract)