This short note discusses performance bounds for "Ahrens" algorithm, that can generate random variates from continuous distributions with monotonically decreasing density. This rejection algorithms uses constant hat-functions and constant squeezes over many small intervals. The choice of these intervals is important. Ahrens has demonstrated that the equal area rule that uses strips of constant area leads to a very simple algorithm. We present bounds on the rejection constant of this algorithm depending only on the number of intervals. (author's abstract) / Series: Preprint Series / Department of Applied Statistics and Data Processing
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_9ec |
| Date | January 2001 |
| Creators | Hörmann, Wolfgang |
| Publisher | Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Working Paper, NonPeerReviewed |
| Format | application/pdf |
| Relation | http://dx.doi.org/10.1007/s00607-002-1456-y, http://epub.wu.ac.at/1698/ |
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