Short Universal Generators Via Generalized Ratio-of-Uniforms Method

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

We use inequalities to design short universal algorithms that can be used to generate random variates from large classes of univariate continuous or discrete distributions (including all log-concave distributions). The expected time is uniformly bounded over all these distributions for a particular generator. The algorithms can be implemented in a few lines of high level language code. (author's abstract)

Publikationsreihe

ReihePreprint Series / Department of Applied Statistics and Data Processing
Nummer34

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

Zitat