Discrete Variate Generation.
YALE UNIV NEW HAVEN CONN DEPT OF ADMINISTRATIVE SCIENCES
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The paper examines alternative techniques for generating random variables from the Poisson, geometric, negative binomial and binomial distributions on a digital computer. A fourfold criterion is used to evaluate these techniques. The criterion is based on the CPU time needed to generate a variate, the sensitivity of this time to changing parameter values, numerical roundoff error and extent to which cost-saving distributional approximations can be used. One conclusion of the study is that in many cases the inverse transformation method appears more attractive than alternative techniques specific to particular distributions. Author
- Statistics and Probability
- Computer Programming and Software
- Computer Hardware