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 |
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Publication status | Published - 1 Sep 2009 |
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Name | Research Report Series / Department of Statistics and Mathematics |
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No. | 111 |
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- Research Report Series / Department of Statistics and Mathematics