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Simulation of random variates with the Morgenstern distribution

Author

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  • Makhotkin Oleg A.

    (Institute of Computational Mathematics & Mathematical Geophysics, Russian Academy of Sciences, Lavrentieva Str. 6, Novosibirsk 630090, Russia)

Abstract

Five algorithms for the simulation of random vectors with the bivariate Morgenstern distribution are described and realized. The run-time efficiencies of these algorithms are estimated so that the fastest one is determined. It uses the presentation of the Morgenstern distribution density as the sum of the bilinear finite elements.

Suggested Citation

  • Makhotkin Oleg A., 2015. "Simulation of random variates with the Morgenstern distribution," Monte Carlo Methods and Applications, De Gruyter, vol. 21(4), pages 325-328, December.
    • Handle: RePEc:bpj:mcmeap:v:21:y:2015:i:4:p:325-328:n:2
    DOI: 10.1515/mcma-2015-0107
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