Computer methods for efficient sampling from largely arbitrary statistical distributions

DOI10.1007/BF02243420zbMath0426.65003OpenAlexW1569927403MaRDI QIDQ1136192

K. D. Kohrt, Joachim H. Ahrens

Publication date: 1981

Published in: Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02243420

zbMATH Keywords

simulationMonte Carlo methodspseudo-random number generatorinversion methodarbitrary distributions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Related Items (4)

A modal method for generating binomial variables ⋮ On random variate generation when only moments of Fourier coefficients are known ⋮ A general control variate method for option pricing under Lévy processes ⋮ Computer generation of hypergeometric random variates†

Cites Work

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• The squeeze method for generating gamma variates
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• Generating discrete random variables in a computer
• The Computer Generation of Poisson Random Variables
• Recent Developments in the Computer Generation of Poisson Random Variables
• Extensions of Forsythe's Method for Random Sampling from the Normal Distribution
• A Convenient Method for Generating Normal Variables
• Computer methods for sampling from the exponential and normal distributions

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