Automatic nonuniform random variate generation.
algorithmsBayesian statisticsfinanceMarkov chainsMonte Carlo methodsnonuniform random number generatorssimulationtextbooktime seriesuniversal generator
Computational methods in Markov chains (60J22) Bayesian problems; characterization of Bayes procedures (62C10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60)
The main topic of the book are universal generators, i.e. the generators usable for a broad class of distributions (e.g. not normal distribution specific). In many cases the distribution can be empirical. The book therefore does not discusses some well known distribution specific generators. It benefits from the long term research of the authors. All known important methods for the construction of universal nonuniform generators are presented together with the algorithms of corresponding generators. Generators of random vectors with various properties are also given. The last three chapter discuss the problems of the generation of time series (stationary Gausian, non-Gausian, Markov chains and Monte Carlo methods) and give some simulation examples from finance and Bayesian statistics. The algorithms are given mainly in an ad hoc algorithmic language, sometimes in C. There are more than 100 of such algorithms. The versions of almost all of the generators in ISO C (and some further information) can be downloaded from http://statistik.wu-wien.ac.at/arvag/. Yet more algorithms can be downloaded from UNU.RAN library http://statistik.wu-wien.ac.at/unuran/. The FORTRAN and Java source codes are available (via an autommatic generation)from http://statistik.wu-wien.ac.at/anuran/. The effectivity of the generators is measured relative to a generator of exponentially distributed numbers. This metric is almost platform independent. The values of the metric are given for almost all the presented generators. The book presents for all the algorithms the necessary theoretical background, the algorithms in an algorithmic language, and the values of the above metric for the generator. All chapters contain excercises. The issue how to test the statistical quality of the generatos is not discussed. The book can serve as a monography and as a textbook. The book is a good choice for everybody interested in nonuniform random number generators.
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- To Sobol or not to Sobol? The effects of sampling schemes in systems biology applications
- Approximation and sampling of multivariate probability distributions in the tensor train decomposition
- Uniform distributions and random variate generation over generalized \(l_p\) balls and spheres
- A critical comparison of rejection-based algorithms for simulation of large biochemical reaction networks
- Bayesian approach for the zero-modified Poisson-Lindley regression model
- A randomized homotopy for the Hermitian eigenpair problem
- Discrepancy bounds for deterministic acceptance-rejection samplers
- Numerical inverse Lévy measure method for infinite shot noise series representation
- A simple generator for the \(t\) distribution
- Generation of the Maxwellian inflow distribution
- Bayesian analysis of quantile regression for censored dynamic panel data
- Efficient Gibbs sampler for Bayesian analysis of a sample selection model
- New zero-inflated regression models with a variant of censoring
- Simulation of the p-generalized Gaussian distribution
- Nonnormal small jump approximation of infinitely divisible distributions
- An economical acceptance-rejection algorithm for uniform random variate generation over constrained simplexes
- A New Rejection Sampling Method for Truncated Multivariate Gaussian Random Variables Restricted to Convex Sets
- Discrepancy estimates for acceptance-rejection samplers using stratified inputs
- Efficient implementation of Bailey and Borwein pseudo-random number generator based on normal numbers
- On exact sampling of nonnegative infinitely divisible random variables
- Complexity Questions in Non-Uniform Random Variate Generation
- Asymptotic analysis of noisy fitness maximization, applied to metabolism \& growth
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- A note on generating random variables with log-concave densities
- Robustness of some non‐uniform random variate generators
- Short universal generators via generalized ratio-of-uniforms method
- An efficient implementation of Bailey and Borwein's algorithm for parallel random number generation on graphics processing units
- Nonparametric Random Variate Generation Using a Piecewise-Linear Cumulative Distribution Function
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- A power study of goodness-of-fit tests for multivariate normality implemented in R
- Universal methods for generating random variables with a given characteristic function
- Fast QMC matrix-vector multiplication
- Exact simulation of tempered stable Ornstein--Uhlenbeck processes
- Gibbs sampling methods for Bayesian quantile regression
- Asymptotically Optimal Design Points for Rejection Algorithms
- Predictive algorithm for detection of microcracks from macroscale observables
- A bivariate distribution family with specified correlation coefficient and given marginals
- Exact sublinear binomial sampling
- Random generation of k-interactive capacities
- Random generation of capacities and its application in comprehensive decision aiding
- Generating From the Strauss Process Using Stitching
- Addressing overdispersion and zero-inflation for clustered count data via new multilevel heterogenous hurdle models
- Quantile regression in random effects meta-analysis model
- A comprehensive review of quantum random number generators: concepts, classification and the origin of randomness
- Efficient sampling from the PKBD distribution
- Dependence patterns associated with the fundamental diagram: a copula function approach
- \(t\)-Copula generation for control variates
- Goodness-of-Fit Testing for the Newcomb-Benford Law With Application to the Detection of Customs Fraud
- Fast simulation of truncated Gaussian distributions
- An asymptotically optimal algorithm for generating bin cardinalities
- Generating Gaussian pseudorandom noise with binary sequences
- Quasi-Monte Carlo methods for mixture distributions and approximated distributions via piecewise linear interpolation
- Endogenous and exogenous effects in self-exciting process models of terrorist activity
- Class library ranlip for multivariate nonuniform random variate generation
- Inequalities and simulation methods for univariate log-concave densities
- Transformed density rejection with inflection points
- Random variate generation for the generalized inverse Gaussian distribution
- Generating generalized inverse Gaussian random variates
- A note on a universal random variate generator for integer-valued random variables
- Differential evolution for noisy multiobjective optimization
- An error in the Kinderman-Ramage method and how to fix it
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