A Note on the Performance of the "Ahrens Algorithm"

Wolfgang Hörmann

Publikation: Working/Discussion PaperWU 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)

Publikationsreihe

NamePreprint Series / Department of Applied Statistics and Data Processing
Nr.39

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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