Accession Number : AD0782478

Title :   Acceptance-Rejection Techniques for Sampling from The Gamma and Beta Distributions.

Descriptive Note : Technical rept.,

Corporate Author : STANFORD UNIV CALIF DEPT OF STATISTICS

Personal Author(s) : Dieter,U. ; Ahrens,J. H.

Report Date : 29 MAY 1974

Pagination or Media Count : 29

Abstract : John von Neumann's idea of sampling from a distribution by majorizing its probability density function is applied to gamma and beta distributions. Optimum envelopes are constructed resulting in sampling algorithms whose performance will not deteriorate when the parameters are increased. In some methods the process of acceptance is accelerated. For this the employed test functions are replaced in most cases with simpler bounds which are difficult to derive but easy to apply. The reported computational experience indicates that the new methods can be of considerable practical use. (Author)

Descriptors :   *Sampling, *Probability density functions, Computations, Inequalities, Acceptability, Rejection

Subject Categories : Statistics and Probability
      Mfg & Industrial Eng & Control of Product Sys

Distribution Statement : APPROVED FOR PUBLIC RELEASE