Random variate generation by numerical inversion when only the density is known

DOI10.1145/1842722.1842723zbMath1386.65028MaRDI QIDQ4635155

Josef Leydold, Gerhard Derflinger, Wolfgang Hörmann

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1842722.1842723

zbMATH Keywords

Newton interpolation; inversion method; universal method; Gauss-Lobatto integration; black-box algorithm; nonuniform random variates

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

65D05: Numerical interpolation

65D30: Numerical integration

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Uses Software

• UNU.RAN