Random Variate Generation by Numerical Inversion When Only the Density Is Known
We present a numerical inversion method for generating random variates from continuous distributions when only the density function is given. The algorithm is based on polynomial interpolation of the inverse CDF and Gauss-Lobatto integration. The user can select the required precision which may be c...
Main Authors: | Derflinger, Gerhard, Hörmann, Wolfgang, Leydold, Josef |
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Format: | Others |
Language: | en |
Published: |
Department of Statistics and Mathematics, WU Vienna University of Economics and Business
2009
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Subjects: | |
Online Access: | http://epub.wu.ac.at/162/1/document.pdf |
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