A Method for Computer Generation of Variates from Arbitrary Continuous Distributions

DOI10.1137/0908029zbMath0616.65002OpenAlexW2067156771MaRDI QIDQ4725592

Gary Ulrich, Layne T. Watson

Publication date: 1987

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0908029

zbMATH Keywords

differential equationsB-splinescontinuous random variablesinverse cumulative distribution functioninterpolatory Runge-Kutta

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Monte Carlo methods (65C05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Random number generation in numerical analysis (65C10)

Related Items (2)

Galactic oscillations ⋮ Efficient and Accurate Parallel Inversion of the Gamma Distribution

Uses Software

• pchip

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