On the computer generation of random variables with a given characteristic function

DOI10.1016/0898-1221(81)90038-9MaRDI QIDQ1157092zbMATH OpenOpenAlexFDO

Authors Luc Devroye

Publication date 1981

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(81)90038-9

zbMATH Keywords

given characteristic functionrandom variablesrejection/squeeze algorithm

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Cites work

• A special method to sample some probability density functions
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• scientific article; zbMATH DE number 3176450 (Why is no real title available?)
• scientific article; zbMATH DE number 3247704 (Why is no real title available?)
• The Cramer-Smirnov Test in the Parametric Case
• The squeeze method for generating gamma variates
• Von Neumann's Comparison Method for Random Sampling from the Normal and Other Distributions

Cited in

(16)

• Methods for generating random variates with Polya characteristic functions
• On random variate generation when only moments of Fourier coefficients are known
• Simulation of Student-Lévy processes using series representations
• Simulating space-time random fields with nonseparable Gneiting-type covariance functions
• Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
• On the exit time from open sets of some semi-Markov processes
• A numerical inversion of the bivariate characteristic function
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
• Complexity Questions in Non-Uniform Random Variate Generation
• A Laplace transform inversion method for probability distribution functions
• Universal methods for generating random variables with a given characteristic function
• On simulation of tempered stable random variates
• Parameter estimation and random number generation for student Lévy processes
• Generative Neural Networks for Characteristic Functions
• Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
• A note on a universal random variate generator for integer-valued random variables

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