A Method for Computer Generation of Variates from Arbitrary Continuous Distributions

DOI10.1137/0908029MaRDI QIDQ4725592zbMATH OpenOpenAlexFDO

Authors 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

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

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Cited in

(9)

• The method of selecting the best distribution law for continuous random variables on the basis of inverse mapping
• A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments
• Efficient and accurate parallel inversion of the gamma distribution
• Uniform fractional part: a simple fast method for generating continuous random variates
• The Series Method for Random Variate Generation and Its Application to the Kolmogorov-Smirnov Distribution
• Galactic oscillations
• Continuous random variate generation by fast numerical inversion
• Random variate generation by numerical inversion when only the density is known
• Generate random variates using a newly introduced approximation to cumulative density of lower truncated normal distribution for simulation applications

Describes a project that uses

Uses Software

• pchip

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