The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method
作者:
Wolfgang ormann,
Gerhard erflinger,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1994)
卷期:
Volume 23,
issue 3
页码: 847-860
ISSN:0361-0918
年代: 1994
DOI:10.1080/03610919408813203
出版商: Marcel Dekker, Inc.
关键词: random variate generation;transformed rejection method;normal distribution;t-distributio
数据来源: Taylor
摘要:
Theoretical considerations and empirical results show that the one-dimensional quality of non-uniform random numbers is bad and the discrepancy is high when they are generated by the ratio of uniforms method combined with linear congruent ial generators. This observation motivates the suggestion to replace the ratio of uniforms method by transformed rejection (also called exact approximation or almost exact inversion), as the above problem does not occur for this method. Using the functionwith appropriate a and b as approximation of the inverse distribution function the transformed rejection method can be used for the same distributions as the ratio of uniforms method. The resulting algorithms for the normal, the exponential and the t-distribution are short and easy to implement. Looking at the number of uniform deviates required, at the code length and at the speed the suggested algorithms are superior to the ratio of uniforms method and compare well with other algorithms suggested in literature
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