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The Transformed Rejection Method for Generation Random Variables, an Alternative to the Ratio of Uniforms Method

Hörmann, Wolfgang and Derflinger, Gerhard (1994) 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.

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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)

Item Type: Paper
Additional Information: published in: Communications in Statistics: Simulation and Computation 23(3) 1994, pp. 847-860
Keywords: random variate generation / transformed rejection method / normal distribution / t-distribution
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 07 Nov 2005 13:02
Last Modified: 03 Sep 2015 15:33
WU Online Catalog: http://onlinekatalog.wu.ac.at/F?func=find-b&reques...
URI: http://epub.wu.ac.at/id/eprint/1314


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