An algorithm for generating chi random variables

DOI10.1145/328512.328522zbMath0626.65004OpenAlexW2044769871MaRDI QIDQ3030105

John F. Monahan

Publication date: 1987

Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL: http://www.acm.org/pubs/contents/journals/toms/1987-13/

zbMATH Keywords

chi-square distributionWishart distributionrandom number generationBartlett decompositionComparisonsacceptance testacception- rejection algorithmratio of uniforms methods

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

The ratio of uniforms approach for generating discrete random variates ⋮ Stochastic Integration Rules for Infinite Regions ⋮ Multivariate generalized linear mixed models with semi-nonparametric and smooth nonparametric random effects densities

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