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The Multivariate Ahrens Sampling Method

Karawatzki, Roman (2006) The Multivariate Ahrens Sampling Method. Research Report Series / Department of Statistics and Mathematics, 30. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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The "Ahrens method" is a very simple method for sampling from univariate distributions. It is based on rejection from piecewise constant hat functions. It can be applied analogously to the multivariate case where hat functions are used that are constant on rectangular domains. In this paper we investigate the case of distributions with so called orthounimodal densities. Technical implementation details as well as their practical limitations are discussed. The application to more general distributions is considered. (author's abstract)

Item Type: Paper
Keywords: Multivariate random number generation / grid method / Ahrens method / rejection method
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Mar 2006 15:32
Last Modified: 15 Sep 2010 00:47
URI: http://epub.wu.ac.at/id/eprint/958


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