Variants of Transformed Density Rejection and Correlation Induction

Josef Leydold, Erich Janka, Wolfgang Hörmann

Publikation: Working/Discussion PaperWU Working Paper

Abstract

In this paper we present some variants of transformed density rejection (TDR) that provide more flexibility (including the possibility to halve the expected number of uniform random numbers) at the expense of slightly higher memory requirements. Using a synchronized first stream of uniform variates and a second auxiliary stream (as suggested by Schmeiser and Kachitvichyanukul (1990)) TDR is well suited for correlation induction. Thus high positive and negative correlation between two streams of random variates with same or different distributions can be induced. The software can be downloaded from the UNURAN project page. (author's abstract)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 2001

Publikationsreihe

NamePreprint Series / Department of Applied Statistics and Data Processing
Nr.37

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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