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A Simple Universal Generator for Continuous and Discrete Univariate T-concave Distributions

Leydold, Josef (2000) A Simple Universal Generator for Continuous and Discrete Univariate T-concave Distributions. Preprint Series / Department of Applied Statistics and Data Processing, 30. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

We use inequalities to design short universal algorithms that can be used to generate random variates from large classes of univariate continuous or discrete distributions (including all log-concave distributions). The expected time is uniformly bounded over all these distributions. The algorithms can be implemented in a few lines of high level language code. In opposition to other black-box algorithms hardly any setup step is required and thus it is superior in the changing parameter case. (author's abstract)

Item Type: Paper
Additional Information: published in: ACM Transactions on Mathematical Software 27(1), pp. 66-82, 2001
Keywords: non-uniform random variates / universal method / ratio-of-uniforms method / transformed density rejection / discrete distributions / continuous distributions / log-concave distributions / T-concave distributions
Classification Codes: MSC 65C10, 65U05, 11K45
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:26
Last Modified: 14 Jun 2011 00:18
URI: http://epub.wu.ac.at/id/eprint/1756

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