New methods for generating Student's t and gamma variables

DOI10.1007/BF02285231MaRDI QIDQ1144896zbMATH OpenOpenAlexFDO

Authors A. J. Kinderman, John F. Monahan

Publication date 1980

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02285231

zbMATH Keywords

algorithmsratio of uniforms methodresults of testsStudent's t and gamma variables

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

Cites work

• Computer generation of gamma random variables—II
• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• Computer methods for sampling from gamma, beta, Poisson and binomial distributions
• Computer Methods for Sampling from Student's t Distribution
• Generalized Feedback Shift Register Pseudorandom Number Algorithm
• The squeeze method for generating gamma variates

Cited in

(11)

• A 1-1 poly-t random variable generator with application to Monte Carlo integration
• Computer generation of random variates from the tail of t and normal distributions
• THE WRAPPED t FAMILY OF CIRCULAR DISTRIBUTIONS
• Modeling and Generating Stochastic Inputs for Simulation Studies
• Minimum anderson-darling estimation
• SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration
• Transformations and random variate generation:generalised ratio-of-uniforms methods
• The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method
• On computer generation of random vectors by transformations of uniformly distributed vectors
• Random variate generators for the Poisson-Poisson and related distributions
• The ratio of uniforms approach for generating discrete random variates

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