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.
|Publication status||Published - 1 Sep 2009|
|Name||Research Report Series / Department of Statistics and Mathematics|
- Research Report Series / Department of Statistics and Mathematics