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Automatic Sampling with the Ratio-of-uniforms Method

Applying the ratio-of-uniforms method for generating random variates results in very efficient, fast and easy to implement algorithms. However parameters for every particular type of density must be precalculated analytically. In this paper we show, that the ratio-of-uniforms method is also useful for the design of a black-box algorithm suitable for a large class of distributions, including all with log-concave densities. Using polygonal envelopes and squeezes results in an algorithm that is extremely fast. In opposition to any other ratio-of-uniforms algorithm the expected number of uniform random numbers is less than two. Furthermore we show that this method is in some sense equivalent to transformed density rejection. (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_9e0
Date January 1999
CreatorsLeydold, Josef
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://doi.acm.org/10.1145/347837.347863, http://epub.wu.ac.at/84/

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