New methods for generating Student's t and gamma variables

DOI10.1007/BF02285231zbMath0444.65005OpenAlexW56852211MaRDI QIDQ1144896

A. J. Kinderman, John F. Monahan

Publication date: 1980

Published in: Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02285231

zbMATH Keywords

algorithmsratio of uniforms methodresults of testsStudent's t and gamma variables

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (11)

Minimum anderson-darling estimation ⋮ Computer generation of random variates from the tail of t and normal distributions ⋮ SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration ⋮ The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method ⋮ The ratio of uniforms approach for generating discrete random variates ⋮ Transformations and random variate generation:generalised ratio-of-uniforms methods ⋮ THE WRAPPED t FAMILY OF CIRCULAR DISTRIBUTIONS ⋮ On computer generation of random vectors by transformations of uniformly distributed vectors ⋮ Random variate generators for the Poisson-Poisson and related distributions ⋮ Modeling and Generating Stochastic Inputs for Simulation Studies ⋮ A 1-1 poly-t random variable generator with application to Monte Carlo integration

Cites Work

• The squeeze method for generating gamma variates
• Computer methods for sampling from gamma, beta, Poisson and binomial distributions
• Computer Methods for Sampling from Student's t Distribution
• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• Computer generation of gamma random variables—II
• Generalized Feedback Shift Register Pseudorandom Number Algorithm

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