An Automatic Method for Generating Random Variates with a Given Characteristic Function

DOI10.1137/0146046MaRDI QIDQ4723130zbMATH OpenOpenAlexFDO

Authors Luc Devroye

Publication date 1986

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0146046

zbMATH Keywords

automatic random number generationconvexityexpected time complexityFourier transformprobability inequationsrejection methodsimulationstable distribution

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Computer aspects of numerical algorithms (65Yxx)

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Cited in

(13)

• Methods for generating random variates with Polya characteristic functions
• On random variate generation when only moments of Fourier coefficients are known
• On the shot-noise streamflow model and its applications
• Likelihood-free Bayesian inference for \(\alpha\)-stable models
• A numerical inversion of the bivariate characteristic function
• On exact sampling of nonnegative infinitely divisible random variables
• Complexity Questions in Non-Uniform Random Variate Generation
• Generation of a random sequence having a jointly specified marginal distribution and autocovariance
• TES: A Class of Methods for Generating Autocorrelated Uniform Variates
• Karhunen-Loève expansions of Lévy processes
• A Laplace transform inversion method for probability distribution functions
• Universal methods for generating random variables with a given characteristic function
• Generative Neural Networks for Characteristic Functions

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