Sampling from Linear Multivariate Densities

Josef Leydold, Wolfgang Hörmann

Publication: Chapter in book/Conference proceedingChapter in edited volume


It is well known that the generation of random vectors with non-independent components is difficult.
Nevertheless, we propose a new and very simple generation algorithm
for multivariate linear densities over point-symmetric domains.
Among other applications it can be used to design a simple decomposition-rejection algorithm for multivariate
concave distributions.
Original languageEnglish
Title of host publicationAdvancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman
Editors Alexopoulos, C., Goldsman, D. and Wilson, J. R.
Place of PublicationNew York
Pages143 - 152
Publication statusPublished - 1 Dec 2009

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