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:

DOI10.1080/00949658808811048zbMATH Open0715.65006OpenAlexW2092868802MaRDI QIDQ3201632FDOQ3201632

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

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

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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)

Cites Work

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• Generating gamma variates by a modified rejection technique
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• Generating beta variates with nonintegral shape parameters
• Beta Variate Generation via Exponential Majorizing Functions
• Some Simple Gamma Variate Generators
• The computer generation of Poisson random variables
• Title not available (Why is that?)
• Title not available (Why is that?)
• Computer Generation of Normal Random Variables
• Squeeze Methods for Generating Gamma Variates

Cited In (6)

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

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