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Universal Generators for Correlation Induction

Hörmann, Wolfgang and Derflinger, Gerhard (1994) Universal Generators for Correlation Induction. Preprint Series / Department of Applied Statistics and Data Processing, 12. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

Compared with algorithms specialized for a single distribution universal (also called automatic or black-box) algorithms for continuous distributions were relatively seldom discussed. But they have important advantages for the user: One algorithm coded and tested only once can do the same or even more than a whole library of standard routines. It is only necessary to have a program available that can evaluate the density of the distribution up to a multiplicative factor. In this paper we show that transformed density rejection is well suited to construct universal algorithms suitable for correlation induction which is important for variance reduction in simulation. (author's abstract)

Item Type: Paper
Additional Information: published in: CompStat 1994. Proceedings in computational statistics, ed. R. Dutter and W. Grossmann, Heidelberg : Physica, 1994, pp. 52-57
Keywords: Simulation / non-uniform random number generation / rejection method / universal generators / correlation induction
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 09:59
Last Modified: 21 Apr 2015 09:38
URI: http://epub.wu.ac.at/id/eprint/524

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