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A Note on the Performance of the "Ahrens Algorithm"

Hörmann, Wolfgang (2001) A Note on the Performance of the "Ahrens Algorithm". Preprint Series / Department of Applied Statistics and Data Processing, 39. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

This short note discusses performance bounds for "Ahrens" algorithm, that can generate random variates from continuous distributions with monotonically decreasing density. This rejection algorithms uses constant hat-functions and constant squeezes over many small intervals. The choice of these intervals is important. Ahrens has demonstrated that the equal area rule that uses strips of constant area leads to a very simple algorithm. We present bounds on the rejection constant of this algorithm depending only on the number of intervals. (author's abstract)

Item Type: Paper
Additional Information: published in: Computing 69(1), pp. 83-89, 2002
Keywords: random variate generation / rejection method / universal generator / performance measures
Classification Codes: MSC 65C10, 65U05, 11K45
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:28
Last Modified: 03 Apr 2012 13:28
URI: http://epub.wu.ac.at/id/eprint/1698

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