It is well known that the generation of random vectors with non-independent components is difficult. Nevertheless, we propose a new and very simple generation algorithm for multivariate linear densities over point-symmetric domains.
Among other applications it can be used to design a simple decomposition-rejection algorithm for multivariate concave distributions. / Series: Research Report Series / Department of Statistics and Mathematics
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:3192 |
| Date | January 2009 |
| Creators | Hörmann, Wolfgang, Leydold, Josef |
| Publisher | WU Vienna University of Economics and Business |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Paper, NonPeerReviewed |
| Format | application/pdf |
| Relation | http://www.springerlink.com/content/ht68633868x71343/, http://epub.wu.ac.at/3192/ |
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