A service provided by the WU Library and the WU IT-Services

Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates

Leydold, Josef and Hörmann, Wolfgang (2000) Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates. Preprint Series / Department of Applied Statistics and Data Processing, 31. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

[img]
Preview
PDF
Download (186Kb) | Preview

Abstract

This paper presents an overview of the most powerful universal methods. These are based on acceptance/rejection techniques where hat and squeezes are constructed automatically. Although originally motivated to sample from non-standard distributions these methods have advantages that make them attractive even for sampling from standard distributions and thus are an alternative to special generators tailored for particular distributions. Most important are: the marginal generation time is fast and does not depend on the distribution. They can be used for variance reduction techniques, and they produce random numbers of predictable quality. These algorithms are implemented in a library, called UNURAN, which is available by anonymous ftp. (author's abstract)

Item Type: Paper
Additional Information: in: G.I. Schuëller and P.D. Spanos (eds.), Monte Carlo Simulation, 2001
Keywords: random number generation / rejection method / log-concave density / transformed density rejection / ratio-of-uniforms / black-box algorithm / universal method
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:26
Last Modified: 26 Sep 2014 01:26
URI: http://epub.wu.ac.at/id/eprint/844

Actions

View Item