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Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates

This paper presents an overview of the most powerful universal methods. These are based on acceptance/rejection techniques where hat and squeezes are constructed automatically. Although originally motivated to sample from non-standard distributions these methods have advantages that make them attractive even for sampling from standard distributions and thus are an alternative to special generators tailored for particular distributions. Most important are: the marginal generation time is fast and does not depend on the distribution. They can be used for variance reduction techniques, and they produce random numbers of predictable quality. These algorithms are implemented in a library, called UNURAN, which is available by anonymous ftp. (author's abstract) / Series: Preprint Series / Department of Applied Statistics and Data Processing

Identiferoai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_9e5
Date January 2000
CreatorsLeydold, Josef, Hörmann, Wolfgang
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Source SetsWirtschaftsuniversität Wien
LanguageEnglish
Detected LanguageEnglish
TypePaper, NonPeerReviewed
Formatapplication/pdf
Relationhttp://epub.wu.ac.at/844/

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