Short Universal Generators Via Generalized Ratio-of-Uniforms Method

Publikation: Working/Discussion PaperWU Working Paper

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)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 2000

Publikationsreihe

NamePreprint Series / Department of Applied Statistics and Data Processing
Nr.34

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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