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Some Simple Gamma Variate Generators

Author

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  • R. C. H. Cheng
  • G. M. Feast

Abstract

Gamma variates with index α> 1 are produced by combining two adaptations of Kinderman and Monahan's technique for generating random variates by the use of the ratio of uniform variates. Expensive logarithmic/exponential evaluation is frequently avoided. The method is uniformly fast for all α> 1, is compact and easy to program.

Suggested Citation

  • R. C. H. Cheng & G. M. Feast, 1979. "Some Simple Gamma Variate Generators," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 28(3), pages 290-295, November.
    • Handle: RePEc:bla:jorssc:v:28:y:1979:i:3:p:290-295
    DOI: 10.2307/2347200
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    Cited by:

    1. Yang, Zhenhai & Pang, W.K. & Hou, S.H. & Leung, P.K., 2005. "On a combination method of VDR and patchwork for generating uniform random points on a unit sphere," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 23-36, July.
    2. Pang, W. K. & Yang, Z. H. & Hou, S. H. & Leung, P. K., 2002. "Non-uniform random variate generation by the vertical strip method," European Journal of Operational Research, Elsevier, vol. 142(3), pages 595-609, November.
    3. Ferguson, R.S. & Sprevak, D., 1983. "A model for the simulation of a two MOS-transistor inverter," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 25(3), pages 249-258.
    4. Hisashi Tanizaki, 2008. "A Simple Gamma Random Number Generator for Arbitrary Shape Parameters," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-10.
    5. repec:ebl:ecbull:v:3:y:2008:i:7:p:1-10 is not listed on IDEAS

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