TY - UNPB
T1 - Sampling from Linear Multivariate Densities
AU - Hörmann, Wolfgang
AU - Leydold, Josef
PY - 2009/9/1
Y1 - 2009/9/1
N2 - 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.
AB - 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.
U2 - 10.57938/26e92936-4c37-4742-9e8d-3d4e17351ba9
DO - 10.57938/26e92936-4c37-4742-9e8d-3d4e17351ba9
M3 - WU Working Paper and Case
T3 - Research Report Series / Department of Statistics and Mathematics
BT - Sampling from Linear Multivariate Densities
ER -