A simple generator for the t distribution

DOI10.1007/S00607-007-0255-XMaRDI QIDQ2471834zbMATH OpenOpenAlexFDO

Authors Wolfgang Hörmann

Publication date 18 February 2008

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00607-007-0255-x

zbMATH Keywords

\(t\) distributionalgorithmnonuniform random variate generationStudent's distribution

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Review text

Three new simple algorithms for generating random variates from the \(t\) distribution are presented: two independent ones and their combination. The combined algorithm is almost uniformly fast for all degrees of freedom \(\nu\). For the large \(\nu\) it works slightly slower than the method of \textit{R. W. Bailey} [Math. Comput. 62, No. 206, 779--781 (1994; Zbl 0805.65005)], especially, for \(\nu\) not far from 3; but it works appreciably faster than ``ratio of uniforms method in the version of \textit{L. Devroye} [Non-uniform random variate generation. New York etc.: Springer-Verlag (1986; Zbl 0593.65005), p.~201]. For the small \(\nu\) the first component of combined algorithm (generalization of the ``ratio of uniforms method for the Cauchy distribution) is a bit faster than Bailey's method.

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 2002843 (Why is no real title available?)
• Polar Generation of Random Variates with the t-Distribution
• Short universal generators via generalized ratio-of-uniforms method
• The ACR method for generating normal random variables

Cited in

(4)

• Computer generation of random variates from the tail of t and normal distributions
• scientific article; zbMATH DE number 24085 (Why is no real title available?)
• Polar Generation of Random Variates with the t-Distribution
• An Algorithm for Sampling the Degrees of Freedom in Bayesian Analysis of Linear Regressions with t-distributed Errors

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