Fast poisson and binomial algorithms for correlationinduction**This research is partially supported by the Office of Naval Research contract N00014-7942-0832 through Purdue University$ef:

DOI10.1080/00949658808811048MaRDI QIDQ3201632zbMATH OpenOpenAlexFDO

Authors Voratas Kachitvichyanukul, Shiow-Wen J. Cheng, Bruce W. Schmeiser

Publication date 1988

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658808811048

zbMATH Keywords

correlationsimulationvariance reductionMonte Carlo methodnumerical stabilityrandom variate generationantithetic variatesinverse transformationacceptance/rejectionfast binomial algorithmfast Poisson algorithmoptimal correlation induction

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3854477 (Why is no real title available?)
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• Beta Variate Generation via Exponential Majorizing Functions
• Computer Generation of Normal Random Variables
• Generating beta variates with nonintegral shape parameters
• Generating gamma variates by a modified rejection technique
• Some Simple Gamma Variate Generators
• Squeeze Methods for Generating Gamma Variates
• The computer generation of Poisson random variables

Cited in

(7)

• The generation of binomial random variates
• Power margin quality measures for correlated random variates derived from the normal distribution
• An algorithm for fast generation of bivariate Poisson random vectors
• A method to generate autocorrelated uniform random numbers
• On the effect of inducted negative correlation rate for beta acceptance-rejection algorithms
• Noninverse correlation induction: Guidelines for algorithm development
• Fast Computation of Latent Correlations

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