Computer methods for efficient sampling from largely arbitrary statistical distributions

DOI10.1007/BF02243420MaRDI QIDQ1136192zbMATH OpenOpenAlexFDO

Authors Joachim H. Ahrens, K. D. Kohrt

Publication date 1981

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02243420

zbMATH Keywords

arbitrary distributionsinversion methodMonte Carlo methodspseudo-random number generatorsimulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Cites work

• A Convenient Method for Generating Normal Variables
• An Efficient Method for Generating Discrete Random Variables with General Distributions
• Computer methods for sampling from gamma, beta, Poisson and binomial distributions
• Computer methods for sampling from the exponential and normal distributions
• Extensions of Forsythe's Method for Random Sampling from the Normal Distribution
• Generating discrete random variables in a computer
• scientific article; zbMATH DE number 3854477 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Recent Developments in the Computer Generation of Poisson Random Variables
• The Computer Generation of Poisson Random Variables
• The squeeze method for generating gamma variates

Cited in

(4)

• On random variate generation when only moments of Fourier coefficients are known
• A general control variate method for option pricing under Lévy processes
• Computer generation of hypergeometric random variates†
• A modal method for generating binomial variables

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