Non-Uniform Random Variate Generation
Explore this paper's citation graph
Summary
This chapter reviews the main methods for generating random variables, vectors and processes in non-uniform random variate generation, and provides information on the expected time complexity of various algorithms before addressing modern topics such as indirectly specified distributions, random processes, and Markov chain methods.
- Type
- article
- Published
- 1986-04-16
- Cited by
- 4,380
- References
- 71
- Access
- Open access
- OpenAlex
- https://openalex.org/W2796712335
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:6898695
Keywords
Random variate, Convolution random number generator, Computer science, Mathematics, Statistics
References
- Computer Generation of Distributions on the M‐Sphere
- A convenient sampling method with bounded computatin times for Poisson distributions
- Distributions in Statistics: Discrete Distributions.
- The theory of approximation
- The Generation of Gamma Variables with Non‐Integral Shape Parameter
- Some Simple Gamma Variate Generators
- On the Statistical Analysis of Dirty Pictures
- One-dimensional stable distributions
- Measure and Integral
- The Classical Moment Problem.
- A Note on the Generation of Random Normal Deviates
- Squeeze Methods for Generating Gamma Variates
- Beta Variate Generation via Exponential Majorizing Functions
- STABLE DENSITIES UNDER CHANGE OF SCALE AND TOTAL VARIATION INEQUALITIES
- The squeeze method for generating gamma variates
- The Series Method for Random Variate Generation and Its Application to the Kolmogorov-Smirnov Distribution
- A method for the construction of minimum-redundancy codes
- A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Gamma variate generators with increased shape parameter range
Cited by
- A simple OMNeT++ queuing experiment using different random number generators
- Monte Carlo Integration Using Importance Sampling and Gibbs Sampling
- Stochastic calculus and analytic characteristic functions: applications to finance
- Expected time analysis of a simple recursive Poisson random variate generator
- COMPENSATOR-BASED SIMULATION OF CORRELATED DEFAULTS
- An extension of the Czjzek model for the distributions of electric field gradients in disordered solids and an application to NMR spectra of 71Ga in chalcogenide glasses
- GENERATING NON-UNIFORM RANDOM DEVIATES
- A Monte Carlo method for Bayesian analysis of linkage between single markers and quantitative trait loci. I. Methodology
- A simple Monte Carlo method for solving of Navier-Stokes Equations
- Bayesian Modeling of Biomolecular Assemblies with Cryo-EM Maps
- A 5-D Implementation of FGM for the Large Eddy Simulation of a Stratified Swirled Flame with Heat Loss in a Gas Turbine Combustor
- Simulating the binary variates for the components of a socio-economical system
- Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging
- Hierarchical Bayesian Whittaker Graduation
- Queueing models and statistical analysis for ATM based networks
- A Classification of Reproducible Natural Exponential Families in the Broad Sense
- Embedding population dynamics in mark-recapture models
- Ingénierie des produits structurés : essais sur les méthodes de simulation numérique et sur la modélisation des données de marché
- Bounds for stop-loss premiums of stochastic sums (with applications to life contingencies)
- MCMC for inference on phase-type and masked system lifetime models
Related papers
- History of random variate generation
- Robustness of some non‐uniform random variate generators
- Quality measures for random variate generation
- Massive Generation of Data with Random Variates
- RVGEN: a tool for generation of random variates
- The generation of correlated Rayleigh random variates by inverse discrete Fourier transform
- Automatic Non-uniform Random Variate Generation in R