Hörmann, Wolfgang (1992) The transformed rejection method for generating Poisson random variables. Preprint Series / Department of Applied Statistics and Data Processing, 2. Institut für Statistik und Mathematik, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.
![]()
|
PDF
document.pdf Download (170kB) |
Abstract
The transformed rejection method, a combination of the inversion and the rejection method, which is used to generate non-uniform random numbers from a variety of continuous distributions can be applied to discrete distributions as well. For the Poisson distribution a short and simple algorithm is obtained which is well suited for large values of the Poisson parameter $\mu$, even when $\mu$ may vary from call to call. The average number of uniform deviates required is lower than for any of the known uniformly fast algorithms. Timings for a C implementation show that the algorithm needs only half of the code but is - for $\mu$ not too small - at least as fast as the current state-of-the-art algorithms. (author's abstract)
Item Type: | Paper |
---|---|
Additional Information: | In: Insurance: Mathematics and Economics 12, pp. 39-45, 1993 |
Keywords: | rejection method / inversion / decomposition / Poisson variate generation / uniformly fast algorithm |
Classification Codes: | MSC 65C10, CR G.3 |
Divisions: | Departments > Finance, Accounting and Statistics > Statistics and Mathematics |
Depositing User: | Repository Administrator |
Date Deposited: | 03 May 2004 19:19 |
Last Modified: | 22 Oct 2019 00:41 |
URI: | https://epub.wu.ac.at/id/eprint/352 |
Actions
![]() |
View Item |
Downloads
Downloads per month over past year