Accession Number : AD0720801

Title :   Generating Gamma Distributed Variates for Computer Simulation Models,

Corporate Author : RAND CORP SANTA MONICA CALIF

Personal Author(s) : Berman,M. B.

Report Date : FEB 1971

Pagination or Media Count : 52

Abstract : The author compares two methods of generating random variates for simulation studies from gamma distributions with non-integral shape parameters. The commonly used probability switch approximation method is examined for accuracy and computation costs, while Johnk's exact method is investigated for computation costs. The probability switch method approximates the gamma distribution very closely for shape parameters above 5.0, poorly between 1.0 and 5.0, and not at all below 1.0. Johnk's method, although exact, is 2.5 to 3 times slower in the shape parameter range of 1.0 to 5.0. Johnk's method is recommended for shape parameters below 5.0, and the probability switch method is recommended above 5.0. FORTRAN routines for the two methods are provided. The data used to investigate the accuracy of the probability switch method is appended, as are selected plots of the distributions and a discussion of methods to generate beta variates. (Author)

Descriptors :   (*STATISTICAL DISTRIBUTIONS, NUMERICAL ANALYSIS), (*OPERATIONS RESEARCH, STATISTICAL DISTRIBUTIONS), COMPUTER PROGRAMMING, PROBABILITY, STATISTICAL TESTS, SAMPLING, SIMULATION, ALGORITHMS

Subject Categories : Statistics and Probability
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE