The Series Method for Random Variate Generation and Its Application to the Kolmogorov-Smirnov Distribution
- 1 April 1981
- journal article
- research article
- Published by Taylor & Francis in American Journal of Mathematical and Management Sciences
- Vol. 1 (4) , 359-379
- https://doi.org/10.1080/01966324.1981.10737080
Abstract
This paper presents a series method for the computer generation of a random variable X with density f when f = fn = gn and fn and gn are given sequences of functions satisfying fn ≥ f ≥ gn; f is never evaluated. This method can be used when f is given as an infinite series. Three complete examples are given, and a computer program is included for the generation of random variates from the Kolmogorov-Smirnov distribution.Keywords
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