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Short universal generators via generalized ratio-of-uniforms method |
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| Authors: | Josef Leydold |
| Institution: | University of Economics and Business Administration, Department for Applied Statistics and Data Processing, Augasse 2-6, A-1090 Vienna, Austria |
| Abstract: | We use inequalities to design short universal algorithms that can be used to generate random variates from large classes of univariate continuous or discrete distributions (including all log-concave distributions). The expected time is uniformly bounded over all these distributions for a particular generator. The algorithms can be implemented in a few lines of high level language code. |
| Keywords: | Nonuniform random variates universal method ratio-of-uniforms method transformed density rejection discrete distributions continuous distributions log-concave distributions $T$-concave distributions |
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