A note on a universal random variate generator for integer-valued random variables

DOI10.1007/S11222-013-9390-8zbMATH Open1325.65013arXiv1211.0815OpenAlexW2008514256MaRDI QIDQ892806FDOQ892806

Authors: Lucio Barabesi, Luca Pratelli 

Publication date: 12 November 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Abstract: A universal generator for integer-valued square-integrable random variables is introduced. The generator relies on a rejection technique based on a generalization of the inversion formula for integer-valued random variables. The proposal gives rise to a simple algorithm which may be implemented in a few code lines and which may show good performance when the classical families of distributions - such as the Poisson and the Binomial - are considered. In addition, the method is suitable for the computer generation of integer-valued random variables which display closed-form characteristic functions, but do not possess a probability function expressible in a simple analytical way. As an example of such a framework, an application to the Poisson-Tweedie distribution is provided.

Full work available at URL: https://arxiv.org/abs/1211.0815

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zbMATH Keywords

rejection methodinversion formula[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Luria-Delbr%EF%BF%BD%EF%BF%BDck+distribution&go=Go Luria-Delbr��ck distribution]Poisson-Tweedie distribution

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Random number generation in numerical analysis (65C10) Characterization and structure theory of statistical distributions (62E10)

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Cited In (11)

• On the properties of a Takács distribution
• Discussion of ``On simulation and properties of the stable law by L. Devroye and L. James
• Goodness-of-Fit Testing for the Newcomb-Benford Law With Application to the Detection of Customs Fraud
• Tempered positive Linnik processes and their representations
• Algorithms for generating random variables with a rational probability-generating function
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• The computation of the probability density and distribution functions for some families of random variables by means of the Wynn-ρ accelerated Post-Widder formula

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