Sampling from Linear Multivariate Densities

Josef Leydold, Wolfgang Hörmann

Publikation: Beitrag in Buch/KonferenzbandBeitrag in Sammelwerk

Abstract

It is well known that the generation of random vectors with non-independent components is difficult.
Nevertheless, we propose a new and very simple generation algorithm
for multivariate linear densities over point-symmetric domains.
Among other applications it can be used to design a simple decomposition-rejection algorithm for multivariate
concave distributions.
OriginalspracheEnglisch
Titel des SammelwerksAdvancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman
Herausgeber*innen Alexopoulos, C., Goldsman, D. and Wilson, J. R.
ErscheinungsortNew York
VerlagSpringer
Seiten143 - 152
PublikationsstatusVeröffentlicht - 1 Dez. 2009

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