Sampling from Linear Multivariate Densities

Wolfgang Hörmann; Josef Leydold

doi:10.57938/26e92936-4c37-4742-9e8d-3d4e17351ba9

Sampling from Linear Multivariate Densities

Wolfgang Hörmann, Josef Leydold

Publication: Working/Discussion Paper › WU Working Paper

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Abstract

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 language	English
DOIs	https://doi.org/10.57938/26e92936-4c37-4742-9e8d-3d4e17351ba9
Publication status	Published - 1 Sept 2009

Publication series

Series	Research Report Series / Department of Statistics and Mathematics
Number	111

WU Working Paper Series

Research Report Series / Department of Statistics and Mathematics

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Cite this

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