Sampling from the Gamma Distribution on a Computer.
Abstract
This paper describes a method of generating gamma variates that appears to be less costly than other methods. For large shape parameter alpha the cost of computation is proportional to square root of alpha, whereas the other method is proportional to alpha. Experimentation also indicates that for small alpha the method suggested here also dominates other recently suggested methods, albeit those methods dominate for large alpha. The method suggested here uses the rejection technique.
Document Details
- Document Type
- Technical Report
- Publication Date
- May 01, 1975
- Accession Number
- ADA032823
Entities
People
- George S. Fishman
Organizations
- University of North Carolina at Chapel Hill