Random Variate Generation by Numerical Inversion when only the Density Is Known

Random Variate Generation by Numerical Inversion when only the Density Is Known

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We present a numerical inversion method for generating random variates from continuous distributions when only the density function is given. The algorithm is based on polynomial interpolation of the inverse CDF and Gauss-Lobatto integration. The user can select the required precision which may be c...

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Bibliographic Details
Main Authors: Derflinger, Gerhard, Hörmann, Wolfgang, Leydold, Josef
Format: Others
Language:en
Published: Department of Statistics and Mathematics, WU Vienna University of Economics and Business 2008
Subjects:
ACM G.3
non-uniform random variates / inversion method / universal method / black-box algorithm / Newton interpolation / Gauss-Lobatto integration
Online Access:http://epub.wu.ac.at/1112/1/document.pdf

Internet

http://epub.wu.ac.at/1112/1/document.pdf

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