A Simple Universal Generator for Continuous and Discrete Univariate T-concave Distributions

Publication: 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. The algorithms can be implemented in a few lines of high level language code. In opposition to other black-box algorithms hardly any setup step is required and thus it is superior in the changing parameter case. (author's abstract)
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication statusPublished - 2000

Publication series

NamePreprint Series / Department of Applied Statistics and Data Processing
No.30

WU Working Paper Series

  • Preprint Series / Department of Applied Statistics and Data Processing

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