On the computer generation of random variables with a given characteristic function
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Publication:1157092
DOI10.1016/0898-1221(81)90038-9zbMath0469.65002OpenAlexW2043589266MaRDI QIDQ1157092
Publication date: 1981
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(81)90038-9
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On the exit time from open sets of some semi-Markov processes ⋮ On random variate generation when only moments of Fourier coefficients are known ⋮ A note on a universal random variate generator for integer-valued random variables ⋮ A numerical inversion of the bivariate characteristic function ⋮ Simulation of Student-Lévy processes using series representations ⋮ Complexity Questions in Non-Uniform Random Variate Generation ⋮ A Laplace transform inversion method for probability distribution functions ⋮ On simulation of tempered stable random variates ⋮ Simulating space-time random fields with nonseparable Gneiting-type covariance functions ⋮ Likelihood ratio gradient estimation for Meixner distribution and Lévy processes ⋮ General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options ⋮ Universal methods for generating random variables with a given characteristic function ⋮ Methods for generating random variates with Polya characteristic functions
Cites Work
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- A special method to sample some probability density functions
- The squeeze method for generating gamma variates
- Computer Generation of Random Variables Using the Ratio of Uniform Deviates
- Von Neumann's Comparison Method for Random Sampling from the Normal and Other Distributions
- Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
- The Cramer-Smirnov Test in the Parametric Case
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