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Sampling from Linear Multivariate Densities

Hörmann, Wolfgang and Leydold, Josef (2009) Sampling from Linear Multivariate Densities. Research Report Series / Department of Statistics and Mathematics, 111. WU Vienna University of Economics and Business, Vienna.

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Abstract

It is well known that the generation of random vectors with non-independent components is difficult. Nevertheless, we propose a new and very simple generation algorithm for multivariate linear densities over point-symmetric domains. Among other applications it can be used to design a simple decomposition-rejection algorithm for multivariate concave distributions.

Item Type: Paper
Additional Information: Paper published in Ch. Alexopoulos, D. Goldsman, J.R. Wilson and F.S. Hillier (eds.), Advancing the Frontiers of Simulation, Springer, 2009, pp. 143-151, DOI: 10.1007/b110059_7
Keywords: non-uniform random variates / multivariate distribution / linear density / rejection method /importance sampling
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Josef Leydold
Date Deposited: 05 Sep 2011 10:17
Last Modified: 19 Sep 2017 10:27
Related URLs:
URI: http://epub.wu.ac.at/id/eprint/3192

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