A convenient way of generating gamma random variables using generalized exponential distribution

被引：29

作者：

Kundu, Debasis ^{[1
]}

Gupta, Rameshwar D.

机构：

[1] Indian Inst Technol, Dept Math & Stat, Kanpur 208016, Uttar Pradesh, India

[2] Univ New Brunswick, Dept Comp Sci & Appl Stat, St John, NB E2L 4L5, Canada

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2007年 / 51卷 / 06期

关键词：

generalized exponential distribution; random number generator; gamma generator; Ahrens and Dieter method; best method;

D O I：

10.1016/j.csda.2006.09.037

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this paper we propose a very convenient way to generate gamma random variables using generalized exponential distribution, when the shape parameter lies between 0 and 1. The new method is compared with the most popular Ahrens and Dieter method and the method proposed by Best. Like Ahrens and Dieter and Best methods our method also uses the acceptance-rejection principle. But it is observed that our method has greater acceptance proportion than Ahrens and Dieter or Best methods. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：2796 / 2802

页数：7

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