Automatic Random Variate Generation for Unbounded Densities

Hörmann, Wolfgang and Leydold, Josef and Derflinger, Gerhard (2006) Automatic Random Variate Generation for Unbounded Densities. Research Report Series / Department of Statistics and Mathematics, 44. Department of Statistics and Mathematics, WU Vienna University of Economics and Business, Vienna.

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A new automatic algorithm for sampling from monotone, unbounded densities is presented. The user has to provide a program to evaluate the density and its derivative and the location of the pole. Then the setup of the new algorithm constructs different hat functions for the pole region and for the tail region, respectively. For the pole region a new method is developed that uses a transformed density rejection hat function of the inverse density. As the order of the pole is calculated in the setup, conditions that guarantee the correctness of the constructed hat functions are provided. Numerical experiments indicate that the new algorithm works correctly and moderately fast for many different unbounded densities. The proposed algorithm is the first black-box method that works for unbounded densities suggested in the literature. (author's abstract)

Item Type: Paper
Additional Information: the final version of this paper can be found in Research Report Series / Department of Statistics and Mathematics, Nr. 57: Hörmann, Wolfgang; Leydold, Josef; Derflinger, Gerhard: Inverse Transformed Density Rejection for Unbounded Monotone Densities
Keywords: non-uniform random variates / universal method / black-box algorithm / transformed density rejection / unbounded densities
Classification Codes: MSC_65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 21 Dec 2006 13:15
Last Modified: 22 Oct 2019 00:41
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