Computer generation of gamma random variables—II
- 1 November 1978
- journal article
- Published by Association for Computing Machinery (ACM) in Communications of the ACM
- Vol. 21 (11) , 925-928
- https://doi.org/10.1145/359642.359648
Abstract
A rejection method is proposed for generating gamma variates with nonintegral shape parameter α , α > 1. This method is similar to other methods given by Fishman, Wallace, and Tadikamalla and is faster than these methods for α > 2. The core storage requirements and the programming effort for the proposed method are similar to those of Wallace's or Tadikamalla's methods. The computational times for the proposed method remain fairly constant for medium and large values of α and are superior to times obtained by Arhens and Dieter's method for all values of α . The proposed method is simpler than Ahrens and Dieter's method.Keywords
This publication has 9 references indexed in Scilit:
- Computer generation of gamma random variablesCommunications of the ACM, 1978
- Computer Generation of Normal Random VariablesJournal of the American Statistical Association, 1976
- Sampling from the gamma distribution on a computerCommunications of the ACM, 1976
- The Computer Generation of Beta, Gamma and Normal Random VariablesJournal of the Royal Statistical Society. Series A (General), 1976
- Computer generation of gamma random variates with non-integral shape parametersCommunications of the ACM, 1974
- Computer methods for sampling from gamma, beta, poisson and bionomial distributionsComputing, 1974
- Generating Gamma and Beta Random Variables with Non-Integral Shape ParametersJournal of the Royal Statistical Society Series C: Applied Statistics, 1974
- Empirical investigation of several techniques for computer generation of order statisticsCommunications in Statistics, 1973
- A Note on the Generation of Random Normal DeviatesThe Annals of Mathematical Statistics, 1958