Random variate generation by numerical inversion when only the density is known
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Publication:4635155
DOI10.1145/1842722.1842723zbMath1386.65028MaRDI QIDQ4635155
Josef Leydold, Gerhard Derflinger, Wolfgang Hörmann
Publication date: 16 April 2018
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/1842722.1842723
Newton interpolation; inversion method; universal method; Gauss-Lobatto integration; black-box algorithm; nonuniform random variates
65C20: Probabilistic models, generic numerical methods in probability and statistics
65D05: Numerical interpolation
65D30: Numerical integration
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