Sampling from Linear Multivariate Densities

Wolfgang Hörmann, Josef Leydold

Publikation: Working/Discussion PaperWU Working Paper

3 Downloads (Pure)

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
PublikationsstatusVeröffentlicht - 1 Sep. 2009

Publikationsreihe

NameResearch Report Series / Department of Statistics and Mathematics
Nr.111

WU Working Paper Reihe

  • Research Report Series / Department of Statistics and Mathematics

Dieses zitieren