A quasi-Monte Carlo implementation of the ziggurat method

DOI10.1515/mcma-2018-0008zbMath1436.11097OpenAlexW2794752230WikidataQ130110122 ScholiaQ130110122MaRDI QIDQ1637510

Giray Ökten, Lin-Lin Xu, Nguyet Thanh Nguyen

Publication date: 8 June 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2018-0008

zbMATH Keywords

normal distributiongamma distributionlow-discrepancy sequencesquasi-Monte Carloziggurat method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items

A goodness-of-fit test for copulas based on the collision test

Uses Software

• MersenneTwister
• Ziggurat
• rnorrexp

Cites Work

• The acceptance-rejection method for low-discrepancy sequences
• Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
• Randomized quasi-Monte Carlo methods in pricing securities
• Error bounds for quasi-Monte Carlo integration with uniform point sets
• Uniform point sets and the collision test
• Discrepancy bounds for deterministic acceptance-rejection samplers
• A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
• Uniformly distributed sequences with an additional uniform property
• Mersenne twister
• A simple method for generating gamma variables
• Low-discrepancy point sets for non-uniform measures
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