Squeeze Methods for Generating Gamma Variates.

Abstract

Two algorithms are given for generating gamma distributed random variables. The algorithms, which are valid when the shape parameter is greater than one, use a uniform majorizing function for the body of the distribution and exponential majorizing functions for the tails. The algorithms are self-contained, requiring only U(0,1) variates. Comparisons are made to three competitive algorithms in terms of marginal generation times, initialization time, and memory requirements. Both algorithms are faster than existing methods, for all values of the shape parameters. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1978
Accession Number
ADA060388

Entities

People

  • Bruce W. Schmeiser

Organizations

  • Southern Methodist University

Tags

Communities of Interest

  • Cyber

DTIC Thesaurus Topics

  • Algorithms
  • Computers
  • Demographic Cohorts
  • Engineering
  • Generators
  • Mathematics
  • Monte Carlo Method
  • Operations Research
  • Probability
  • Probability Distributions
  • Random Variables
  • Rejection
  • Sampling
  • Simulations
  • Statistical Sampling
  • Statistics

Readers

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  • Statistical inference.