An algorithm for generating chi random variables

DOI10.1145/328512.328522MaRDI QIDQ3030105zbMATH OpenOpenAlexFDO

Authors John F. Monahan

Publication date 1987

Published in ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL http://www.acm.org/pubs/contents/journals/toms/1987-13/

zbMATH Keywords

acceptance testacception- rejection algorithmBartlett decompositionchi-square distributionComparisonsrandom number generationratio of uniforms methodsWishart distribution

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Algorithm for calculating the noncentral chi-square distribution
• A Complete Guide to Gamma Variate Generation
• A new fast method for computer generation of gamma and beta random variables by transformations of uniform variables
• Generating gamma variates
• An efficient algorithm for computing quantiles of the noncentral chi-squared distribution.

Cited in

(3)

• Stochastic Integration Rules for Infinite Regions
• Multivariate generalized linear mixed models with semi-nonparametric and smooth nonparametric random effects densities
• The ratio of uniforms approach for generating discrete random variates

This page was built for publication: An algorithm for generating chi random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3030105)