The generation of binomial random variates

Wolfgang Hörmann

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

The transformed rejection method, a combination of inversion and rejection, which can be applied to various continuous distributions, is well suited to generate binomial random variates as well. The resulting algorithms are simple and fast, and need only a short set-up. Among the many possible variants two algorithms are described and tested: BTRS a short but nevertheless fast rejection algorithm and BTRD which is more complicated as the idea of decomposition is utilized. For BTRD the average number of uniforms required to return one binomial deviate lies between 2.5 and 1.4 which is considerably lower than for any of the known uniformly fast algorithms. Timings for a C-implementation show that for the case that the parameters of the binomial distribution vary from call to call BTRD is faster than the current state of the art algorithms. Depending on the computer, the speed of the uniform generator used and the binomial parameters the savings are between 5 and 40 percent. (author's abstract)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberInstitut für Statistik und Mathematik, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 1992

Publikationsreihe

NamePreprint Series / Department of Applied Statistics and Data Processing
Nr.1

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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