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A universal generator for discrete log-concave distributions

Hörmann, Wolfgang (1993) A universal generator for discrete log-concave distributions. Preprint Series / Department of Applied Statistics and Data Processing, 8. Institut für Statistik und Mathematik, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

We give an algorithm that can be used to sample from any discrete log-concave distribution (e.g. the binomial and hypergeometric distributions). It is based on rejection from a discrete dominating distribution that consists of parts of the geometric distribution. The algorithm is uniformly fast for all discrete log-concave distributions and not much slower than algorithms designed for a single distribution. (author's abstract)

Item Type: Paper
Additional Information: In: Computing 52, pp. 89-96, 1994
Keywords: Random number generation / log-concave distributions / rejection method / simulation
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 03 May 2004 22:11
Last Modified: 12 Jan 2015 11:14
URI: http://epub.wu.ac.at/id/eprint/1704

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