Sampling from Linear Multivariate Densities

Wolfgang Hörmann, Josef Leydold

Publication: Working/Discussion PaperWU 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 languageEnglish
Publication statusPublished - 1 Sep 2009

Publication series

NameResearch Report Series / Department of Statistics and Mathematics
No.111

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

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