Automatic Random Variate Generation for Simulation Input

Automatic Random Variate Generation for Simulation Input

We develop and evaluate algorithms for generating random variates for simulation input. One group called automatic, or black-box algorithms can be used to sample from distributions with known density. They are based on the rejection principle. The hat function is generated automatically in a setup s...

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Bibliographic Details
Main Authors: Hörmann, Wolfgang, Leydold, Josef
Format: Others
Language:en
Published: Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business 2000
Subjects:
MSC 65C10
random number generation / rejection method / log-concave density / transformed density rejection / black-box algorithm / universal method / kernel density estimation / smoothed bootstrap / simulation
Online Access:http://epub.wu.ac.at/534/1/document.pdf

Internet

http://epub.wu.ac.at/534/1/document.pdf

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