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Dominated rejection algorithms for generating random variates

Published: 01 November 2012 Publication History

Abstract

This focus article presents a practical modified version of the von Neumann dominated rejection method for generating univariate random variates using a distribution density function, a uniform variate over a finite interval, and an independent uniform variate over the unit interval. An example generated variate from the normal distribution family is included for demonstration purposes. WIREs Comput Stat 2012, 4:561-564. doi: 10.1002/wics.1230

References

[1]
<label>1</label> von Neumann J. Various techniques used in connection with random digits. Applied Mathematics Series: Monte Carlo Methods, vol. 12. Washington, DC: National Bureau of Standards; 1951: pp.36-38.
[2]
<label>2</label> Knuth DE. The Art of Computer Programming, <?bookTitleStart ?>Seminumerical Algorithms<?bookTitleEnd ?>, vol. 2, 3rd ed. Reading, MA: Addison-Wesley; 1998.
[3]
<label>3</label> Knuth DE. MMIXware: A RISC Computer for the Third Millennium. Heidelberg, Germany: Springer-Verlag; 1999.
[4]
<label>4</label> Hall T. A dominated rejection algorithm for generating random variates. Proceedings of the 2011 Joint Statistical Meetings, Miami Beach, FL, 2011.

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Published In

cover image WIREs Computational Statistics
WIREs Computational Statistics  Volume 4, Issue 6
November 2012
75 pages
ISSN:1939-5108
EISSN:1939-0068
Issue’s Table of Contents

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John Wiley & Sons, Inc.

United States

Publication History

Published: 01 November 2012

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  1. dominated rejection algorithm
  2. embedded systems code
  3. generated variate data

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