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Variants of Transformed Density Rejection and Correlation Induction

Leydold, Josef and Janka, Erich and Hörmann, Wolfgang (2001) Variants of Transformed Density Rejection and Correlation Induction. Preprint Series / Department of Applied Statistics and Data Processing, 37. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

In this paper we present some variants of transformed density rejection (TDR) that provide more flexibility (including the possibility to halve the expected number of uniform random numbers) at the expense of slightly higher memory requirements. Using a synchronized first stream of uniform variates and a second auxiliary stream (as suggested by Schmeiser and Kachitvichyanukul (1990)) TDR is well suited for correlation induction. Thus high positive and negative correlation between two streams of random variates with same or different distributions can be induced. The software can be downloaded from the UNURAN project page. (author's abstract)

Item Type: Paper
Additional Information: in: K.-T. Fang, F.J. Hickernell, and H. Niederreiter (eds.), Monte Carlo and Quasi-Monte Carlo Methods 2000, pp. 345-356, 2002
Keywords: random number generation / rejection method / log-concave density / transformed density rejection / black-box algorithm / universal method / correlation induction
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:28
Last Modified: 03 Aug 2015 10:49
URI: http://epub.wu.ac.at/id/eprint/1554

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