Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates

Josef Leydold, Wolfgang Hörmann

Publikation: Working/Discussion PaperWU Working Paper

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Abstract

This paper presents an overview of the most powerful universal methods. These are based on acceptance/rejection techniques where hat and squeezes are constructed automatically. Although originally motivated to sample from non-standard distributions these methods have advantages that make them attractive even for sampling from standard distributions and thus are an alternative to special generators tailored for particular distributions. Most important are: the marginal generation time is fast and does not depend on the distribution. They can be used for variance reduction techniques, and they produce random numbers of predictable quality. These algorithms are implemented in a library, called UNURAN, which is available by anonymous ftp. (author's abstract)

Publikationsreihe

ReihePreprint Series / Department of Applied Statistics and Data Processing
Nummer31

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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