A Note on the Performance of the "Ahrens Algorithm"

Wolfgang Hörmann

doi:10.1007/s00607-002-1456-y

A Note on the Performance of the "Ahrens Algorithm"

Wolfgang Hörmann

Statistics and Mathematics

Publikation: Working/Discussion Paper › WU Working Paper

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Abstract

This short note discusses performance bounds for "Ahrens" algorithm, that can generate random variates from continuous distributions with monotonically decreasing density. This rejection algorithms uses constant hat-functions and constant squeezes over many small intervals. The choice of these intervals is important. Ahrens has demonstrated that the equal area rule that uses strips of constant area leads to a very simple algorithm. We present bounds on the rejection constant of this algorithm depending only on the number of intervals. (author's abstract)

Originalsprache	Englisch
Erscheinungsort	Vienna
Herausgeber	Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
DOIs	https://doi.org/10.1007/s00607-002-1456-y
Publikationsstatus	Veröffentlicht - 2001

Publikationsreihe

Reihe	Preprint Series / Department of Applied Statistics and Data Processing
Nummer	39

WU Working Paper Reihe

Preprint Series / Department of Applied Statistics and Data Processing

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Zitat

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Hörmann, W 2001 'A Note on the Performance of the "Ahrens Algorithm"' Preprint Series / Department of Applied Statistics and Data Processing, Nr. 39, March 2001/June 2002 Aufl., Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna. https://doi.org/10.1007/s00607-002-1456-y

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